Stochastic Nonstationary Optimization for Finding Universal Portfolios

Annals of Operations Research

Volumn 100, Issue 1-4, 2000, Pages 165-188

  Gaivoronski, Alexei A ^a   Stella, Fabio ^b  

^a NORWEGIAN UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Norway)

^b UNIVERSITY OF MILAN   (Italy)

Author keywords

Constant rebalanced portfolios; Nonstationary optimization; Optimal growth; Stochastic programming

Indexed keywords

EID: 0034559016     PISSN: 02545330     EISSN: 15729338     Source Type: Journal    
DOI: 10.1023/a:1019271201970     Document Type: Article

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