A posteriori multi-stage optimal trading under transaction costs and a diversification constraint.
Mogens Graf PlessenAlberto BemporadPublished in: CoRR (2017)
Keyphrases
- multistage
- transaction costs
- dynamic programming
- single stage
- production system
- stock exchange
- stochastic programming
- stochastic optimization
- lot sizing
- optimal control
- optimal solution
- optimal strategy
- electronic commerce
- finite horizon
- stock market
- portfolio selection
- portfolio management
- production line
- random variables
- optimal policy
- machine learning
- portfolio optimization
- assembly systems