Performance Bounds and Suboptimal Policies for Multi-Period Investment
- ISBN-10
- 1601986726
- ISBN-13
- 9781601986726
- Category
- Mathematics
- Pages
- 94
- Language
- English
- Published
- 2013-11
- Publisher
- Now Pub
- Authors
- Stephen Boyd, Yang Wang, Mark T. Mueller
Description
Examines dynamic trading of a portfolio of assets in discrete periods over a finite time horizon, with arbitrary time-varying distribution of asset returns. The goal is to maximize the total expected revenue from the portfolio, while respecting constraints on the portfolio such as a required terminal portfolio and leverage and risk limits.
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