Approximate value iteration approaches to constrained dynamic portfolio problems

Approximate value iteration approaches to constrained dynamic portfolio problems

Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 2004. === Includes bibliographical references (p. 173-176). === This thesis considers a discrete-time, finite-horizon dynamic portfolio problem where an investor makes sequential investment...

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Bibliographic Details
Main Author: Wang, Alexander C. (Alexander Che-Wei)
Other Authors: John N. Tsitsiklis.
Format: Others
Language:English
Published: Massachusetts Institute of Technology 2006
Subjects:
Electrical Engineering and Computer Science.
Online Access:http://hdl.handle.net/1721.1/30089

Internet

http://hdl.handle.net/1721.1/30089

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