Optimal investment : bounds and heuristics
Year of publication: |
December 2015
|
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Authors: | Rogers, Leonard C. G. ; Zaczkowski, P. |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 19.2015/2016, 2, p. 1-28
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Subject: | optimal investment | duality | pathwise | simulation | incomplete market | Unvollkommener Markt | Incomplete market | Theorie | Theory | Heuristik | Heuristics | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Simulation | Stochastischer Prozess | Stochastic process |
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