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Optimal investment with multiple risky assets under short-selling prohibition in a periodic environment.
Shanshan Wang
Chunsheng Zhang
Published in:
J. Syst. Sci. Complex. (2012)
Keyphrases
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multiple stages
real time
worst case
transaction costs
genetic algorithm
decision making
dynamic programming
mobile robot
dynamic environments
optimal control
database
autonomous agents
closed form
long run
investment decisions
investment strategies