The cost of achieving the best portfolio in hindsight

Mathematics of Operations Research

Volumn 23, Issue 4, 1998, Pages 960-982

  Ordentlich, Erik ^a   Cover, Thomas M ^b  

^a HEWLETT PACKARD LABORATORIES   (United States)

^b STANFORD UNIVERSITY   (United States)

Author keywords

Asset allocation; Derivative security; Optimal investment; Portfolio selection

Indexed keywords

CONVERGENCE OF NUMERICAL METHODS; COSTS; DECISION THEORY; POLYNOMIALS; RESOURCE ALLOCATION; RISK MANAGEMENT; STRATEGIC PLANNING;

NONANTICIPATING INVESTMENT STRATEGIES;

OPTIMIZATION;

EID: 0032208221     PISSN: 0364765X     EISSN: None     Source Type: Journal    
DOI: 10.1287/moor.23.4.960     Document Type: Article

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