Accurate and robust numerical methods for the dynamic portfolio management problem
Fei Cong, Cornelis W. Oosterlee
| Year of publication: |
March 2017
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|---|---|
| Authors: | Cong, Fei ; Oosterlee, Cornelis Willebrordus |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 49.2017, 3, p. 433-458
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| Subject: | Dynamic portfolio management | Simulation method | Least-square regression | Taylor expansion | Fourier cosine expansion method | Portfolio-Management | Portfolio selection | Theorie | Theory | Simulation | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-016-9569-0 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011762120