On-line portfolio selection using stochastic programming
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Economic Dynamics and Control.
Volume (Year): 27 (2003)
Issue (Month): 6 (April)
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Web page: http://www.elsevier.com/locate/jedc
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- Thomas M. Cover, 1991. "Universal Portfolios," Mathematical Finance, Wiley Blackwell, vol. 1(1), pages 1-29.
- Kjetil Høyland & Stein W. Wallace, 2001. "Generating Scenario Trees for Multistage Decision Problems," Management Science, INFORMS, vol. 47(2), pages 295-307, February.
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
- William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
- John M. Mulvey & Hercules Vladimirou, 1992. "Stochastic Network Programming for Financial Planning Problems," Management Science, INFORMS, vol. 38(11), pages 1642-1664, November.
- Farshid Jamshidian, 1992. "Asymptotically Optimal Portfolios," Mathematical Finance, Wiley Blackwell, vol. 2(2), pages 131-150.
- S D Flåm, 2005.
"Portfolio Management without Probabilities or Statistics,"
The School of Economics Discussion Paper Series
0508, Economics, The University of Manchester.
- Sjur Flåm, 2010. "Portfolio management without probabilities or statistics," Annals of Finance, Springer, vol. 6(3), pages 357-368, July.
- Bin Li & Steven C. H. Hoi, 2012. "Online Portfolio Selection: A Survey," Papers 1212.2129, arXiv.org, revised May 2013.
- Fabio Stella & Alfonso Ventura, 2011.
"Defensive online portfolio selection,"
International Journal of Financial Markets and Derivatives,
Inderscience Enterprises Ltd, vol. 2(1/2), pages 88-105.
- Yuichi Takano & Jun-ya Gotoh, 2011. "Constant Rebalanced Portfolio Optimization Under Nonlinear Transaction Costs," Asia-Pacific Financial Markets, Springer, vol. 18(2), pages 191-211, May.
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