Dynamic portfolio optimization with transaction costs : heuristics and dual bounds
Year of publication: |
2011
|
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Authors: | Brown, David B. ; Smith, James E. |
Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 57.2011, 10, p. 1752-1770
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Subject: | Dynamische Optimierung | Dynamic programming | Portfolio-Management | Portfolio selection | Transaktionskosten | Transaction costs | Heuristik | Heuristics |
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