Dynamic portfolio optimization: time decomposition using the maximum principle with a scenario approach (Q704083)
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scientific article; zbMATH DE number 2127036
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| English | Dynamic portfolio optimization: time decomposition using the maximum principle with a scenario approach |
scientific article; zbMATH DE number 2127036 |
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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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0.7738797664642334
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0.75749671459198
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0.75518399477005
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0.7540461421012878
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