Portfolio optimization using stochastic programming with market trend forecast
This report discusses a multi-stage stochastic programming model that maximizes expected ending time profit assuming investors can forecast a bull or bear market trend. If an investor can always predict the market trend correctly and pick the optimal stochastic strategy that matches the real market...
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| Format: | Others |
| Language: | en |
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2014
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| Online Access: | http://hdl.handle.net/2152/26248 |