Portfolio Rebalancing with a Consideration of Market Conditions Changes Using Instance-Based Policy Optimization-Reference-Cited by-同舟云学术

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Portfolio Rebalancing with a Consideration of Market Conditions Changes Using Instance-Based Policy Optimization

Published:2017-03-08 Issue:4 Volume:100 Page:66-75
ISSN:1942-9533
Container-title:Electronics and Communications in Japan
language:en
Short-container-title:Electron Comm Jpn

Author:

HAGIWARA DAICHI¹,HARADA TAKU²

Affiliation:

1. Graduate School of Science and Technology; Tokyo University of Science; Japan

2. Faculty of Science and Technology; Tokyo University of Science; Japan

Publisher

Wiley

Subject

Applied Mathematics,Electrical and Electronic Engineering,Computer Networks and Communications,General Physics and Astronomy,Signal Processing

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/ecj.11950/fullpdf

Reference30 articles.

1. 60 years of portfolio optimization: Practical challenges and current trends;Kolm;Eur J Oper Res,2014

2. Portfolio selection;Markowitz;J Financ,1952

3. Hibiki N. Portfolio optimization modelling and applications in financial engineering rd 2009

4. Mathematical programming models for portfolio optimization problem: A review;Mokhtar;Int J Social Manage Econ Business Eng,2014

5. Dynamic portfolio optimization using Monte Carlo simulation;Takaya;Trans Oper Res Soc Jpn,2012

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