Multi-period portfolio optimization given a priori information on signal dynamics and transactions costs
Detta är en Master-uppsats från KTH/Optimeringslära och systemteori
Sammanfattning: Multi-period portfolio optimization (MPO) has gained a lot of interest in modern portfolio theory due to its consideration for inter-temporal trading e effects, especially market impacts and transactions costs, and for its subtle reliability on return predictability. However, because of the heavy computational demand, portfolio policies based on this approach have been sparsely explored. In that regard, a tractable MPO framework proposed by N. G
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