Dynamic Portfolio Optimization with Stochastic Programming

6533b7dcfe1ef96bd12727b4

RESEARCH PRODUCT

Dynamic Portfolio Optimization with Stochastic Programming

Søren S. Nielsen Andrea Consiglio Stavros Zenios

subject

Microeconomics Fixed income Stochastic discount factor Stochastic modelling Economics Robust optimization Portfolio optimization Mathematical economics Stochastic programming

year	journal	country	edition	language
2010-02-01	Practical Financial Optimization

https://doi.org/10.1002/9781118467183.ch6

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