Dynamic Portfolio Optimization with Transaction Costs: Heuristics and Dual Bounds
Year of publication: |
2011
|
---|---|
Authors: | Brown, David B. ; Smith, James E. |
Published in: |
Management Science. - Institute for Operations Research and the Management Sciences - INFORMS, ISSN 0025-1909. - Vol. 57.2011, 10, p. 1752-1770
|
Publisher: |
Institute for Operations Research and the Management Sciences - INFORMS |
Subject: | dynamic programming | portfolio optimization |
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