Dynamic portfolio optimization: time decomposition using the maximum principle with a scenario approach

DOI10.1016/j.ejor.2004.01.012zbMath1067.90129OpenAlexW2048802982MaRDI QIDQ704083

Elio Canestrelli, Diana Barro

Publication date: 12 January 2005

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2004.01.012

zbMATH Keywords

maximum principlestochastic programmingscenariosdynamic portfolioprogressive hedging algorithm

Mathematics Subject Classification ID

Stochastic programming (90C15) Portfolio theory (91G10)

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Cites Work

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