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On efficient portfolio selection using convex risk measures

✍ Scribed by Christos E. Kountzakis

Book ID
107399512
Publisher
Springer-Verlag
Year
2011
Tongue
English
Weight
364 KB
Volume
4
Category
Article
ISSN
1862-9679

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This paper is dedicated to the problem of dynamic portfolio optimization for the case when the number of decision periods is large and new information about market arrives during each such period. We propose the family of adaptive portfolio selection policies which rebalance the current portfolio du