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Admissible Strategies in Semimartingale Portfolio Selection.

Sara BiaginiAles Cerný
Published in: SIAM J. Control. Optim. (2011)
Keyphrases
  • portfolio selection
  • multistage stochastic
  • portfolio optimization
  • portfolio management
  • robust optimization
  • financial markets
  • transaction costs
  • optimal portfolio
  • evolutionary algorithm
  • multiple objectives