Dynamic Portfolio Optimization with Transaction Costs: Heuristics and Dual Bounds
- Author
- BROWN, David B1 ; SMITH, James E1
[1] Fuqua School of Business, Duke University, Durham, North Carolina 27708, United States - Source
Management science. 2011, Vol 57, Num 10, pp 1752-1770, 19 p ; ref : 3/4 p
- CODEN
- MSCIAM
- ISSN
- 0025-1909
- Scientific domain
- Control theory, operational research; Management economics
- Publisher
- Institute for Operations Research and the Management Sciences, Hanover, MD
- Publication country
- United States
- Document type
- Article
- Language
- English
- Author keyword
- dynamic programming portfolio optimization
- Keyword (fr)
- Accès information Borne supérieure Bourse valeurs Coût transaction Espace état Evaluation performance Gestion portefeuille Gestion risque Horizon fini Marché financier Modélisation Méthode Monte Carlo Méthode espace état Méthode heuristique Optimisation Programmation discrète Programmation dynamique Programmation stochastique Prédictabilité Stratégie optimale Temps discret
- Keyword (en)
- Information access Upper bound Stock exchange Transaction cost State space Performance evaluation Portfolio management Risk management Finite horizon Financial market Modeling Monte Carlo method State space method Heuristic method Optimization Discrete programming Dynamic programming Stochastic programming Predictability Optimal strategy Discrete time
- Keyword (es)
- Acceso información Cota superior Bolsa valores Coste transacción Espacio estado Evaluación prestación Gestión cartera Gestión riesgo Horizonte finito Mercado financiero Modelización Método Monte Carlo Método espacio estado Método heurístico Optimización Programación discreta Programación dinámica Programación estocástica Predictabilidad Estrategia optima Tiempo discreto
- Classification
- Pascal
- 001 Exact sciences and technology / 001D Applied sciences / 001D01 Operational research. Management science / 001D01A Operational research and scientific management / 001D01A03 Mathematical programming
- Pascal
- 001 Exact sciences and technology / 001D Applied sciences / 001D01 Operational research. Management science / 001D01A Operational research and scientific management / 001D01A09 Risk theory. Actuarial science
- Pascal
- 001 Exact sciences and technology / 001D Applied sciences / 001D01 Operational research. Management science / 001D01A Operational research and scientific management / 001D01A10 Portfolio theory
- Discipline
- Operational research. Management
- Origin
- Inist-CNRS
- Database
- PASCAL
- INIST identifier
- 24595810
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
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DOI
10.1287/mnsc.1110.1377 
https://dx.doi.org/10.1287/mnsc.1110.1377
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