Multistage Stochastic Mean-Variance Portfolio Analysis with Transaction Costs Nalan G¨ ulpınar, Ber¸c Rustem∗, Reuben Settergren Department of Computing, Imperial College of Science, Technology and Medicine - Two-moment decision models - Document - PDFSEARCH.IO

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	Multistage Stochastic Mean-Variance Portfolio Analysis with Transaction Costs Nalan G¨ ulpınar, Ber¸c Rustem∗, Reuben Settergren Department of Computing, Imperial College of Science, Technology and Medicine Add to Reading List Document Date: 2004-05-17 08:18:52 Open Document File Size: 195,63 KB Share Result on Facebook City London / / Company Edward Elgar Publishing Inc. / / Country United Kingdom / Ireland / / Event Reorganization / / Facility Imperial College of Science / / IndustryTerm interior-point algorithm / simplex algorithm / overall solution / basic tool / / Organization Reuben Settergren Department of Computing / College of Science / / Person Reuben Settergren / / Position stochastic quantities rt / rt / Queen / s∗ rt / product rt / broker / Var rt / mean rt / / Technology interior-point algorithm / simplex algorithm / / SocialTag Financial risk Investment Utility Mathematical finance Modern portfolio theory Two-moment decision models Portfolio optimization Hyperbolic absolute risk aversion Mathematical optimization Financial economics

Multistage Stochastic Mean-Variance Portfolio Analysis with Transaction Costs Nalan G¨ ulpınar, Ber¸c Rustem∗, Reuben Settergren Department of Computing, Imperial College of Science, Technology and MedicineAdd to Reading List