Stochastic Nonstationary Optimization for Finding Universal Portfolios

• 1 January 2000
• journal article
• Published by Springer Nature in Annals of Operations Research
• Vol. 100  (1/4) , 165-188
• https://doi.org/10.1023/a:1019271201970

Abstract

Keywords

• CONSTANT REBALANCED PORTFOLIOS
• OPTIMAL GROWTH
• STOCHASTIC PROGRAMMING
• NONSTATIONARY OPTIMIZATION

All Related Versions

• Version 1, 2000-01-01, RePEc (Unconfirmed version)