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Approximate Dynamic Programming-Based Dynamic Portfolio Optimization for Constrained Index Tracking.
Jooyoung Park
Dong-Su Yang
Kyungwook Park
Published in:
Int. J. Fuzzy Log. Intell. Syst. (2013)
Keyphrases
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approximate dynamic programming
portfolio optimization
linear program
portfolio management
reinforcement learning
portfolio selection
dynamic programming
factor analysis
problems involving
bi objective
robust optimization
feature extraction
risk management
step size
stock market
stock price