Dynamic programming and mean-variance hedging.
Jean Paul LaurentHuyên PhamPublished in: Finance Stochastics (1999)
Keyphrases
- dynamic programming
- portfolio selection
- optimal control
- financial markets
- quasi linear
- transaction costs
- reinforcement learning
- utility function
- single machine
- dp matching
- stereo matching
- greedy algorithm
- linear programming
- optimal policy
- data sets
- efficient frontier
- option pricing
- case study
- exchange rate
- multi agent
- risk management
- social networks
- portfolio optimization
- dynamic programming algorithms
- coarse to fine
- information retrieval
- real time
- markov decision processes