The dual approach to portfolio evaluation: a comparison of the static, myopic and generalized buy-and-hold strategies
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- David B. Brown & James E. Smith, 2011. "Dynamic Portfolio Optimization with Transaction Costs: Heuristics and Dual Bounds," Management Science, INFORMS, vol. 57(10), pages 1752-1770, October.
- Alonso-García, J. & Devolder, P., 2016. "Optimal mix between pay-as-you-go and funding for DC pension schemes in an overlapping generations model," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 224-236.
More about this item
KeywordsPortfolio optimization; Duality; Generalized buy-and-hold strategy;
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