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Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution.
Fred E. Benth
Kenneth H. Karlsen
Kristin Reikvam
Published in:
Finance Stochastics (2001)
Keyphrases
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portfolio management
asset allocation
financial data
portfolio optimization
factor analysis
portfolio selection
decision making
optimal portfolio
association rules
stock price
transaction costs
optimal solution
dynamic programming
non stationary
case based reasoning
data warehouse