An Affine Control Method for Optimal Dynamic Asset Allocation with Transaction Costs (Q3581020): Difference between revisions

From MaRDI portal
Changed an Item
Import recommendations run Q6534273
 
(2 intermediate revisions by 2 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1137/080723776 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2081080078 / rank
 
Normal rank
Property / Recommended article
 
Property / Recommended article: Multi-period portfolio optimization with linear control policies / rank
 
Normal rank
Property / Recommended article: Multi-period portfolio optimization with linear control policies / qualifier
 
Similarity Score: 0.82971656
Amount0.82971656
Unit1
Property / Recommended article: Multi-period portfolio optimization with linear control policies / qualifier
 
Property / Recommended article
 
Property / Recommended article: Multiperiod portfolio optimization with terminal liability: bounds for the convex case / rank
 
Normal rank
Property / Recommended article: Multiperiod portfolio optimization with terminal liability: bounds for the convex case / qualifier
 
Similarity Score: 0.78558064
Amount0.78558064
Unit1
Property / Recommended article: Multiperiod portfolio optimization with terminal liability: bounds for the convex case / qualifier
 
Property / Recommended article
 
Property / Recommended article: A NONLINEAR CONTROL POLICY USING KERNEL METHOD FOR DYNAMIC ASSET ALLOCATION(<Special Issue>SCOPE (Seminar on Computation and OPtimization for new Extensions)) / rank
 
Normal rank
Property / Recommended article: A NONLINEAR CONTROL POLICY USING KERNEL METHOD FOR DYNAMIC ASSET ALLOCATION(<Special Issue>SCOPE (Seminar on Computation and OPtimization for new Extensions)) / qualifier
 
Similarity Score: 0.7811155
Amount0.7811155
Unit1
Property / Recommended article: A NONLINEAR CONTROL POLICY USING KERNEL METHOD FOR DYNAMIC ASSET ALLOCATION(<Special Issue>SCOPE (Seminar on Computation and OPtimization for new Extensions)) / qualifier
 
Property / Recommended article
 
Property / Recommended article: Solving long-term financial planning problems via global optimization / rank
 
Normal rank
Property / Recommended article: Solving long-term financial planning problems via global optimization / qualifier
 
Similarity Score: 0.7797536
Amount0.7797536
Unit1
Property / Recommended article: Solving long-term financial planning problems via global optimization / qualifier
 
Property / Recommended article
 
Property / Recommended article: Feedback predictive control strategies for investment in the financial market with serially correlated returns subject to constraints and trading costs / rank
 
Normal rank
Property / Recommended article: Feedback predictive control strategies for investment in the financial market with serially correlated returns subject to constraints and trading costs / qualifier
 
Similarity Score: 0.77784956
Amount0.77784956
Unit1
Property / Recommended article: Feedback predictive control strategies for investment in the financial market with serially correlated returns subject to constraints and trading costs / qualifier
 
Property / Recommended article
 
Property / Recommended article: Portfolio selection using multistage stochastic programming / rank
 
Normal rank
Property / Recommended article: Portfolio selection using multistage stochastic programming / qualifier
 
Similarity Score: 0.77683073
Amount0.77683073
Unit1
Property / Recommended article: Portfolio selection using multistage stochastic programming / qualifier
 
Property / Recommended article
 
Property / Recommended article: Q2888931 / rank
 
Normal rank
Property / Recommended article: Q2888931 / qualifier
 
Similarity Score: 0.77295744
Amount0.77295744
Unit1
Property / Recommended article: Q2888931 / qualifier
 
Property / Recommended article
 
Property / Recommended article: Continuous time mean variance asset allocation: a time-consistent strategy / rank
 
Normal rank
Property / Recommended article: Continuous time mean variance asset allocation: a time-consistent strategy / qualifier
 
Similarity Score: 0.7703187
Amount0.7703187
Unit1
Property / Recommended article: Continuous time mean variance asset allocation: a time-consistent strategy / qualifier
 
Property / Recommended article
 
Property / Recommended article: Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation / rank
 
Normal rank
Property / Recommended article: Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation / qualifier
 
Similarity Score: 0.7649153
Amount0.7649153
Unit1
Property / Recommended article: Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation / qualifier
 
Property / Recommended article
 
Property / Recommended article: Time Consistency of the Mean-Risk Problem / rank
 
Normal rank
Property / Recommended article: Time Consistency of the Mean-Risk Problem / qualifier
 
Similarity Score: 0.76487195
Amount0.76487195
Unit1
Property / Recommended article: Time Consistency of the Mean-Risk Problem / qualifier
 

Latest revision as of 19:03, 27 January 2025

scientific article
Language Label Description Also known as
English
An Affine Control Method for Optimal Dynamic Asset Allocation with Transaction Costs
scientific article

    Statements

    An Affine Control Method for Optimal Dynamic Asset Allocation with Transaction Costs (English)
    0 references
    16 August 2010
    0 references
    Dynamic optimization
    0 references
    strategic asset allocation
    0 references
    multistage decision problems
    0 references
    risk control
    0 references
    convex optimization
    0 references
    portfolio optimization
    0 references
    transaction costs
    0 references
    affinely parameterized control function.
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references