A sensitivity-based optimization approach for portfolio optimization with proportional transaction costs (Q5498046)
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scientific article; zbMATH DE number 6402006
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| English | A sensitivity-based optimization approach for portfolio optimization with proportional transaction costs |
scientific article; zbMATH DE number 6402006 |
Statements
11 February 2015
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portfolio optimization
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Markov decision process
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sensitivity-based approach
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policy iteration
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0.823002278804779
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0.8212912082672119
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0.8095846772193909
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0.8002676963806152
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0.799983561038971
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