Evaluating Portfolio Policies: A Duality Approach
Year of publication: |
2003-08-15
|
---|---|
Authors: | Kogan, Leonid ; Haugh, Martin ; Wang, Jiang |
Institutions: | Sloan School of Management, Massachusetts Institute of Technology (MIT) |
Subject: | Portfolio Choice | Duality | Dynamic Programming | Constraints | Monte Carlo | Simulation |
-
Optimal investment : bounds and heuristics
Rogers, Leonard C. G., (2015)
-
Portfolio optimization with insider's initial information and counterparty risk
Hillairet, Caroline, (2015)
-
Lasso-based simulation for high-dimensional multi-period portfolio optimization
Li, Zhongyu, (2020)
- More ...
-
The Price Impact and Survival of Irrational Traders
Kogan, Leonid, (2003)
-
Pricing and hedging derivative securities in incomplete markets : an e-arbitrage approach
Bertsimas, Dimitris., (1997)
-
Implementing option pricing models when asset returns are predictable
Lo, Andrew W., (1993)
- More ...