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We address the multi-period portfolio optimization problem with the constant rebalancing strategy. This problem is formulated as a polynomial optimization problem (POP) by using a mean-variance criterion. In order to solve the POPs of high degree, we develop a cutting-plane algorithm based on...
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This paper is concerned with a linear control policy for dynamic portfolio selection. We develop this policy by incorporating time-series behaviors of asset returns on the basis of coherent risk minimization. Analyzing the dual form of our optimization model, we demonstrate that the investment...
Persistent link: https://www.econbiz.de/10014448151
This paper is concerned with prescriptive price optimization, which integrates machine learning models into price optimization to maximize future revenues or profits of multiple items. The prescriptive price optimization requires accurate demand forecasting models because the prediction accuracy...
Persistent link: https://www.econbiz.de/10014448605