Finite horizon portfolio selection with a negative wealth constraint.

Junkee Jeon Yong Hyun Shin

Published in: J. Comput. Appl. Math. (2019)

Keyphrases

portfolio selection
finite horizon
infinite horizon
optimal policy
markov decision processes
single product
markov decision process
financial markets
multistage
non stationary
long term
optimal portfolio
control policies
robust optimization
long run
finite state
lead time
dynamic programming
genetic algorithm