Dynamic portfolio choice: a simulation-and-regression approach
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Publication:2402578
DOI10.1007/s11081-017-9347-4zbMath1370.90306OpenAlexW2594545404MaRDI QIDQ2402578
Erick Delage, Michel Denault, Jean-Guy Simonato
Publication date: 8 September 2017
Published in: Optimization and Engineering (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11081-017-9347-4
dynamic programmingportfolio optimizationportfolio choiceleast-squares Monte Carlo methodssimulation-and-regression methods
Applications of mathematical programming (90C90) Stochastic programming (90C15) Dynamic programming (90C39) Portfolio theory (91G10)
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