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Portfolio Selection in Stochastic Environments

✍ Scribed by Liu, Jun


Book ID
121681186
Publisher
Oxford University Press
Year
2006
Tongue
English
Weight
276 KB
Volume
20
Category
Article
ISSN
0893-9454

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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