Switching Strategies for Sequential Decision Problems With Multiplicative Loss With Application to Portfolios
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Publication:4569699
DOI10.1109/TSP.2009.2013906zbMath1391.94278MaRDI QIDQ4569699
Suleyman S. Kozat, Andrew C. Singer
Publication date: 9 July 2018
Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1109/tsp.2009.2013906
91B06: Decision theory
94A12: Signal theory (characterization, reconstruction, filtering, etc.)
91G10: Portfolio theory
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