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Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets.
Daniele Bianchi
Massimo Guidolin
Published in:
Eur. J. Oper. Res. (2014)
Keyphrases
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long run
optimal strategy
expected cost
data sets
short run
decision problems
optimal policy
customer classes
average reward
heavy traffic
queueing networks
infinite horizon
online convex optimization
expected utility
monte carlo
control policy
cost function
reinforcement learning
learning algorithm