Portfolio replication: its forward-dual decomposition

DOI10.1023/B:AURC.0000014728.52168.9AzbMath1097.91050OpenAlexW2055506997MaRDI QIDQ1778991

A. S. Velichko, E. A. Nurminskii

Publication date: 17 June 2005

Published in: Automation and Remote Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/b:aurc.0000014728.52168.9a

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Portfolio theory (91G10)

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