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Performance Bounds and Suboptimal Policies for Multi-Period Investment (Foundations and Trends(r) in Optimization) - Softcover
Synopsis
Performance Bounds and Suboptimal Policies for Multi-Period Investment examines dynamic trading of a portfolio of assets in discrete periods over a finite time horizon, with arbitrary time-varying distribution of asset returns. The goal is to maximize the total expected revenue from the portfolio, while respecting constraints on the portfolio like a required terminal portfolio and leverage and risk limits. The revenue takes into account the gross cash generated in...
About the Author
Stephen Boyd received his PhD from the University of California, Berkeley. Since 1985 he has been a member of the Electrical Engineering Department at Stanford University, where he is now Professor and Director of the Information Systems Laboratory. He has won numerous awards for teaching and research, and is a Fellow of the IEEE. He was one of the co-founders of Barcelona Design, and is the co-author...
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- PublisherNow Publishers
- Publication date2014
- ISBN 10 1601986726
- ISBN 13 9781601986726
- BindingPaperback
- LanguageEnglish
- Number of pages94
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Performance Bounds and Suboptimal Policies for Multi-Period Investment: 1 (Foundations and Trends® in Optimization) [Paperback] Stephen Boyd (author)|Mark T. Mueller (author)|Brendan Donoghue (author)|Yang Wang (author)
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Performance Bounds and Suboptimal Policies for Multi-Period Investment (Foundations and Trends(r) in Optimization)
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Performance Bounds and Suboptimal Policies for Multi-Period Investment
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ISBN 10: 1601986726
ISBN 13: 9781601986726
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Performance Bounds and Suboptimal Policies for Multi-period Investment
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Performance bounds and suboptimal policies for multi-period investment
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