On-line portfolio selection using stochastic programming
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- 10.1162/153244303321897672
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- ASYMPTOTICALLY OPTIMAL PORTFOLIOS
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- Multi-stage stochastic linear programs for portfolio optimization
- On-line portfolio selection using stochastic programming
- Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse
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- Stochastic nonstationary optimization for finding universal portfolios
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- Variational Analysis
Cited in
(16)- On-line portfolio selection using stochastic programming
- Optimal portfolio selection and dynamic benchmark tracking
- Adaptive online portfolio strategies design and analysis in nonstationary market
- Online portfolio selection: a survey
- Adaptive online portfolio selection with transaction costs
- Constant rebalanced portfolios and side-information
- Universal portfolio selection strategy by aggregating online expert advice
- Constant rebalanced portfolio optimization under nonlinear transaction costs
- Robust and adaptive algorithms for online portfolio selection
- A two-stage stochastic mixed-integer programming approach to the index tracking problem
- A portfolio optimization model based on information entropy and fuzzy time series
- A novel online portfolio selection strategy with multiperiodical asymmetric mean reversion
- Portfolio management without probabilities or statistics
- Robust selling times in adaptive portfolio management
- Stochastic optimization for real time service capacity allocation under random service demand
- A class of on-line portfolio selection algorithms based on linear learning
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