Dynamic portfolio management with views at multiple horizons
type: Item
instance of: scholarly article
title: Dynamic portfolio management with views at multiple horizons
zbMATH Open document ID: 1410.91425
published in: Applied Mathematics and Computation
publication date: 2019-03-19T00:00:00Z
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 7038370
zbMATH Keywords: discretionary allocation
zbMATH Keywords: multivariate Ornstein-Uhlenbeck
zbMATH Keywords: relative entropy
zbMATH Keywords: optimal policy
zbMATH Keywords: dynamic programming
zbMATH Keywords: calculus of variations
author: Attilio Meucci
author: Marco Nicolosi
describes a project that uses: CVX
MaRDI profile type: Publication
full work available at URL: j.amc.2015.11.009
OpenAlex ID: W3123640723
cites work: Minimum-relative-entropy calibration of asset-pricing models
cites work: Elements of Information Theory
cites work: Common risk factors in the returns on stocks and bonds
cites work: No-dynamic-arbitrage and market impact
cites work: Robust risk measurement and model risk
cites work: Q4864293
DOI: 10.1016/J.AMC.2015.11.009
description: scientific article; zbMATH DE number 7038370