High-dimensional portfolio optimization with transaction costs (Q2814667)
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scientific article; zbMATH DE number 6596752
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | High-dimensional portfolio optimization with transaction costs |
scientific article; zbMATH DE number 6596752 |
Statements
22 June 2016
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portfolio optimization
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transaction costs
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value function iteration
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approximate dynamic programming
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lower and upper bounds
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High-dimensional portfolio optimization with transaction costs (English)
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