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Time-Consistent Portfolio Selection under Short-Selling Prohibition: From Discrete to Continuous Setting.
Alain Bensoussan
Kwok Chuen Wong
Sheung Chi Phillip Yam
Siu-Pang Yung
Published in:
SIAM J. Financial Math. (2014)
Keyphrases
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portfolio selection
discrete space
continuous domains
portfolio optimization
multistage stochastic
continuous variables
portfolio management
financial markets
robust optimization
data mining
genetic algorithm
transaction costs
optimal portfolio