On-line portfolio selection using stochastic programming

DOI10.1016/S0165-1889(02)00053-2zbMath1178.91177WikidataQ62048176 ScholiaQ62048176MaRDI QIDQ951342

Alexei A. Gaivoronski, Fabio Stella

Publication date: 24 October 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

zbMATH Keywords

stochastic programmingportfolio optimizationon-line portfolio selection

Mathematics Subject Classification ID

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

Related Items (12)

Universal portfolio selection strategy by aggregating online expert advice ⋮ A two-stage stochastic mixed-integer programming approach to the index tracking problem ⋮ A class of on-line portfolio selection algorithms based on linear learning ⋮ Stochastic optimization for real time service capacity allocation under random service demand ⋮ Portfolio management without probabilities or statistics ⋮ Adaptive online portfolio selection with transaction costs ⋮ On-line portfolio selection using stochastic programming ⋮ Constant rebalanced portfolio optimization under nonlinear transaction costs ⋮ Online portfolio selection ⋮ Optimal portfolio selection and dynamic benchmark tracking ⋮ Constant rebalanced portfolios and side-information ⋮ A portfolio optimization model based on information entropy and fuzzy time series

Uses Software

• Matlab

Cites Work

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