Multi-period portfolio optimization with linear control policies (Q1004108): Difference between revisions

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+Giuseppe Carlo Calafiore
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+Adjustable robust solutions of uncertain linear programs
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+Sensitivity Analysis for Mean-Variance Portfolio Problems
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+State-of-the-Art-Survey—Stochastic Programming: Computation and Applications
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+Strategic asset allocation
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+On distributionally robust chance-constrained linear programs
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+Robust asset allocation
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+Continuous-time mean-variance portfolio selection: a stochastic LQ framework
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