Multiperiod portfolio optimization with terminal liability: Bounds for the convex case

Computational Optimization and Applications

Volumn 32, Issue 1-2, 2005, Pages 29-59

  Edirisinghe, N C P ^a  

^a UNIVERSITY OF TENNESSEE   (United States)

Author keywords

Generalized moment problems; Option pricing; Portfolio optimization; Stochastic dynamic programming; Stochastic multi stage programming

Indexed keywords

APPROXIMATION THEORY; COMPUTATION THEORY; DYNAMIC PROGRAMMING; INDUSTRIAL ECONOMICS; MARKOV PROCESSES; OPTIMIZATION; PROBLEM SOLVING; PRODUCT LIABILITY; STOCHASTIC PROGRAMMING;

COMPUTATIONAL EFFICIENCY; MULTIPLE SECURITIES; OPTION PRICING; PORTFOLIO OPTIMIZATION; STOCHASTIC DYNAMIC PROGRAMMING; STOCHASTIC MULTI-STAGE PROGRAMMING; TRADING PERIODS;

INVESTMENTS;

EID: 23944518991     PISSN: 09266003     EISSN: None     Source Type: Journal    
DOI: 10.1007/s10589-005-2053-8     Document Type: Article

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