Dynamic portfolio optimization: Time decomposition using the Maximum Principle with a scenario approach

Author:

Barro Diana,Canestrelli Elio

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modelling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference36 articles.

1. A.J. Berger, J.M. Mulvey, The Home Account Advisor, asset and liability management for private investors, in: [36], pp. 634–665

2. Introduction to Stochastic Programming;Birge,1997

3. A dynamic model for bond portfolio management;Bradley;Management Science,1972

4. E. Canestrelli, Sulla ricerca di soluzioni ottimali per una classe di problemi di controllo ottimo nel discreto, in: Atti del IV Convegno, A.M.A.S.E.S. Grottaferrata, Roma, 1981

5. E. Canestrelli, Soluzione numerica di problemi di controllo ottimo nel discreto a vincoli lineari, in: Atti del IX Convegno, A.M.A.S.E.S. Levico Terme, Trento, 1985

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