On-line portfolio selection using stocha
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Alexei A. Gaivoronski; Fabio Stella
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Article
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2003
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Elsevier Science
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English
β 354 KB
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