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A dynamic programming approach to two-stage mean-variance portfolio selection in cointegrated vector autoregressive systems.

Melanie B. RudoyCharles E. Rohrs
Published in: CDC (2008)
Keyphrases
  • portfolio selection
  • dynamic programming
  • portfolio optimization
  • portfolio management
  • data mining
  • bayesian networks
  • support vector
  • utility function
  • robust optimization
  • empirically derived