Dynamic portfolio management with views at multiple horizons

DOI10.1016/J.AMC.2015.11.009zbMath1410.91425OpenAlexW3123640723MaRDI QIDQ668857

Marco Nicolosi, Attilio Meucci

Publication date: 19 March 2019

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2015.11.009

zbMATH Keywords

dynamic programmingrelative entropycalculus of variationsoptimal policydiscretionary allocationmultivariate Ornstein-Uhlenbeck

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (2)

A test on the location of the tangency portfolio on the set of feasible portfolios ⋮ Multi-period power utility optimization under stock return predictability

Uses Software

• CVX

Cites Work

• Unnamed Item
• Minimum-Relative-Entropy Calibration of Asset-Pricing Models
• No-dynamic-arbitrage and market impact
• Robust risk measurement and model risk
• Common risk factors in the returns on stocks and bonds
• Elements of Information Theory

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