Nonstationary Optimization Approach for Finding Universal Portfolios
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References listed on IDEAS
- Kjetil Høyland & Stein W. Wallace, 2001. "Generating Scenario Trees for Multistage Decision Problems," Management Science, INFORMS, vol. 47(2), pages 295-307, February.
- 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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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.
- Sjur Flåm, 2010.
"Portfolio management without probabilities or statistics,"
Annals of Finance,
Springer, vol. 6(3), pages 357-368, July.
- S D Flåm, 2005. "Portfolio Management without Probabilities or Statistics," The School of Economics Discussion Paper Series 0508, Economics, The University of Manchester.
- Bin Li & Steven C. H. Hoi, 2012. "Online Portfolio Selection: A Survey," Papers 1212.2129, arXiv.org, revised May 2013.
- James DiLellio, 2015. "A Kalman filter control technique in mean-variance portfolio management," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(2), pages 235-261, April.
- repec:kap:compec:v:50:y:2017:i:1:d:10.1007_s10614-016-9585-0 is not listed on IDEAS
- Bin Li & Steven C. H. Hoi, 2012. "On-Line Portfolio Selection with Moving Average Reversion," Papers 1206.4626, arXiv.org.
- repec:spr:annopr:v:256:y:2017:i:1:d:10.1007_s10479-016-2176-6 is not listed on IDEAS
More about this item
Keywordsuniversal portfolios; constant rebalanced portfolios; portfolio selection;
- G1 - Financial Economics - - General Financial Markets
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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