Dynamic portfolio optimization: time decomposition using the maximum principle with a scenario approach (Q704083): Difference between revisions

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Property / DOI: 10.1016/j.ejor.2004.01.012 / rank
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Latest revision as of 01:14, 10 December 2024

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Dynamic portfolio optimization: time decomposition using the maximum principle with a scenario approach
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    Dynamic portfolio optimization: time decomposition using the maximum principle with a scenario approach (English)
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    12 January 2005
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    stochastic programming
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    scenarios
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    dynamic portfolio
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    progressive hedging algorithm
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    maximum principle
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