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An Application of Functional Ito's Formula to Stochastic Portfolio Optimization with Bounded Memory.
Tao Pang
Azmat Hussain
Published in:
SIAM Conf. on Control and its Applications (2015)
Keyphrases
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portfolio optimization
bounded memory
portfolio selection
portfolio management
problems involving
data streams
transaction costs
factor analysis
robust optimization
risk management
optimization methods
bi objective
stock exchange
stock price
stock market
objective function
decision support system
np hard