HIGH-DIMENSIONAL PORTFOLIO OPTIMIZATION WITH TRANSACTION COSTS (Q2814667)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | HIGH-DIMENSIONAL PORTFOLIO OPTIMIZATION WITH TRANSACTION COSTS |
scientific article |
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HIGH-DIMENSIONAL PORTFOLIO OPTIMIZATION WITH TRANSACTION COSTS (English)
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22 June 2016
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portfolio optimization
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transaction costs
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value function iteration
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approximate dynamic programming
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lower and upper bounds
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