Stochastic dynamic programming methods for the portfolio selection problem
In this thesis, we study the portfolio selection problem with multiple risky assets, linear transaction costs and a risk measure in a multi-period setting. In particular, we formulate the multi-period portfolio selection problem as a dynamic program and to solve it we construct approximate dynamic p...
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London School of Economics and Political Science (University of London)
2013
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.579485 |