Foreign exchange trading and management with the stochastic dual dynamic programming method
Year of publication: |
2023
|
---|---|
Authors: | Reus, Lorenzo ; Sepúlveda-Hurtado, Guillermo Alexander |
Published in: |
Financial innovation : FIN. - Heidelberg : SpringerOpen, ISSN 2199-4730, ZDB-ID 2824759-0. - Vol. 9.2023, 1, Art.-No. 23, p. 1-38
|
Subject: | FX risk | FX trading | Julia | Multistage stochastic programming | SDDP | Trade policy uncertainty | Stochastischer Prozess | Stochastic process | Dynamische Optimierung | Dynamic programming | Außenwirtschaftspolitik | Foreign economic policy | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Risiko | Risk | Devisenmarkt | Foreign exchange market | Portfolio-Management | Portfolio selection |
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