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On-line portfolio selection using stochastic programming · Study

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ArticleOn-line portfolio selection using stochastic programming

Alexei A. Gaivoronski2003

Article2003

On-line portfolio selection using stochastic programming

Alexei A. Gaivoronski · Fabio A. Stella

36 citations·0/0 files stored·Journal of Economic Dynamics and Control

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1952Portfolio Selection 1963A Simplified Model for Portfolio Analysis 2010Stochastic Programming 1988Theory of Financial Decision Making.1995Stochastic Programming 2001Generating Scenario Trees for Multistage Decision Problems 1991Universal Portfolios 1991Optimal Stopping and the American Put

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2009A two-stage stochastic mixed-integer programming approach to the index tracking problem

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Year2003

Typearticle

Published2003-01-30

VenueJournal of Economic Dynamics and Control

ISSN-L0165-1889

Languageen

Citations36

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/s0165-1889(02)00053-2

openalex_workW2016192187

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