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Performance Bounds Suboptimal Policies by Boyd Stephen (12 results)
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![Stock image for 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) for sale by Hay-on-Wye Booksellers](https://pictures.abebooks.com/isbn/9781601986726-us-300.jpg)
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)
Seller: Hay-on-Wye Booksellers, Hay-on-Wye, HEREF, United Kingdom
Seller rating 5 out of 5 stars
US$ 4.68
Convert currencyUS$ 26.36 shipping from United Kingdom to U.S.A.Quantity: 1 available
Add to basketCondition: Very Good. NEW/UNUSED - Some outer edges have minor scuffs. Cover has light scratches. Textblock has shelf wear. Reading content is in new condition. Despatched within 24 hours.
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US$ 66.64
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Performance Bounds and Suboptimal Policies for Multi-Period Investment
Published by Now Publishers Inc 2013-11, 2013
ISBN 10: 1601986726 ISBN 13: 9781601986726
Language: English
US$ 65.74
Convert currencyUS$ 20.41 shipping from United Kingdom to U.S.A.Quantity: 10 available
Add to basketPF. Condition: New.
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Performance Bounds and Suboptimal Policies for Multi-Period Investment (Foundations and Trends(r) in Optimization)
Seller: Ria Christie Collections, Uxbridge, United Kingdom
Seller rating 5 out of 5 stars
US$ 71.99
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US$ 98.70
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Add to basketPaperback. Condition: Brand New. 92 pages. 9.21x6.14x0.47 inches. In Stock.
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Condition: New. pp. 94.
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US$ 82.31
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Add to basketCondition: New. 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 .
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US$ 157.45
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Performance Bounds and Suboptimal Policies for Multi-Period Investment
Seller: THE SAINT BOOKSTORE, Southport, United Kingdom
Seller rating 5 out of 5 stars
US$ 84.11
Convert currencyUS$ 11.20 shipping from United Kingdom to U.S.A.Quantity: Over 20 available
Add to basketPaperback / softback. Condition: New. This item is printed on demand. New copy - Usually dispatched within 5-9 working days 175.
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US$ 109.87
Convert currencyUS$ 31.93 shipping from Germany to U.S.A.Quantity: 1 available
Add to basketTaschenbuch. Condition: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - 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 trades, transaction costs, and costs associated with the positions, such as fees for holding short positions. The model that is presented takes the form of a stochastic control problem with linear dynamics and convex cost function and constraints. While this problem can be tractably solved in several special cases - for example, when all costs are convex quadratic, or when there are no transaction costs - the focus is on the more general case, with nonquadratic cost terms and transaction costs.Performance Bounds and Suboptimal Policies for Multi-Period Investment shows how to use linear matrix inequality techniques and semidefinite programming to produce a quadratic bound on the value function, which in turn gives a bound on the optimal performance. This performance bound can be used to judge the performance obtained by any suboptimal policy. As a by-product of the performance bound computation, an approximate dynamic programming policy is obtained that requires the solution of a convex optimization problem, often a quadratic program, to determine the trades to carry out in each step.
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US$ 134.61
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Add to basketCondition: New. Print on Demand pp. 94 49:B&W 6.14 x 9.21 in or 234 x 156 mm (Royal 8vo) Perfect Bound on White w/Gloss Lam.
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US$ 141.89
Convert currencyUS$ 11.04 shipping from Germany to U.S.A.Quantity: 4 available
Add to basketCondition: New. PRINT ON DEMAND pp. 94.
