Dynamic portfolio replication using stochastic programming
Year of publication: |
2002
|
---|---|
Authors: | Dempster, Michael A. H. ; Thompson, G. W. P. |
Published in: |
Risk management : value at risk and beyond. - Cambridge [u.a.] : Cambridge Univ. Press, ISBN 0-521-78180-9. - 2002, p. 100-128
|
Subject: | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Dynamische Optimierung | Dynamic programming | Mathematische Optimierung | Mathematical programming | Theorie | Theory |
-
Stochastic liquidity as a proxy for nonlinear price impact
Muhle-Karbe, Johannes, (2024)
-
Pimentel, Livia F., (2015)
-
Lifetime portfolio selection by dynamic stochastic programming
Samuelson, Paul Anthony, (1972)
- More ...
-
Portfolio management for pension funds
Arbeleche, S., (2003)
-
Stochastic modelling and optimization using stochastics TM
Dempster, Michael A. H., (2002)
-
A stochastic approach to hierarchical planning and scheduling
Dempster, Michael A. H., (1984)
- More ...