Yang, Li; Chen, Zhiping; Hu, Qianhui - In: China Finance Review International 4 (2014) 4, pp. 360-384
scenario tree generated by the new scenario tree generation approach, the optimal investment strategy obtained under the multi … at intermediate periods and market frictions are taken into account simultaneously. An efficient scenario tree generation … approach is proposed in order to transform the complex multi-period portfolio selection problem into a tractable one. Findings …
