Optimal portfolio selection and dynamic benchmark tracking.

Alexei A. Gaivoronski Sergiy Krylov Nico van der Wijst

Published in: Eur. J. Oper. Res. (2005)

Keyphrases

portfolio selection
optimal portfolio
optimal solution
multistage stochastic
particle filter
portfolio optimization
dynamic programming
financial markets
multiple objectives
optimal strategy
expected utility
robust optimization