Dynamic portfolio optimization: Time decomposition using the maximum principle with a scenario approach

European Journal of Operational Research

Volumn 163, Issue 1, 2005, Pages 217-229

  Barro, Diana ^a   Canestrelli, Elio ^a  

^a CA' FOSCARI UNIVERSITY OF VENICE   (Italy)

Author keywords

Dynamic portfolio; Maximum Principle; Progressive Hedging Algorithm; Scenarios; Stochastic programming

Indexed keywords

ALGORITHMS; COMPUTATIONAL METHODS; COSTS; DECISION MAKING; OPTIMAL CONTROL SYSTEMS; PROBABILITY DISTRIBUTIONS; PROBLEM SOLVING; UNCERTAIN SYSTEMS;

DYNAMIC PORTFOLIO; PROGRESSIVE HEDGING ALGORITHM; TIME DECOMPOSITION;

RANDOM PROCESSES;

EID: 9944255126     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2004.01.012     Document Type: Conference Paper

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