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5. An Accurate Simulation-based Approach to the Dynamic Portfolio Management Problem

An Accurate Simulation-based Approach to the Dynamic Portfolio Management Problem

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：talenthers312

【摘 要】

：

　　We revisit a well-known dynamic portfolio management algorithm,the BGSS algorithm,proposed by Brandt,Goyal,Santa-Clara and Stroud(Review of Financial Studie

【作 者】

：

Cong Fei Oosterlee Cornelis 

【机 构】

：

TU Delft

【出 处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

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论文部分内容阅读

　　We revisit a well-known dynamic portfolio management algorithm,the BGSS algorithm,proposed by Brandt,Goyal,Santa-Clara and Stroud(Review of Financial Studies,18,831-873,2005).

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