Implementable algorithms for stochastic nonlinear programs with applications to portfolio selection and revision
This dissertation has two main objectives: first, to develop efficient algorithms for the solution of one and two period constrained optimization problems, and second, to apply these methods to the solution of portfolio selection and revision problems. The algorithms developed are based upon the Fr...
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| Language: | English |
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2010
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| Online Access: | http://hdl.handle.net/2429/22205 |