"Multi-period stochastic portfolio optimization: Block-separable decomposition."

N. C. P. Edirisinghe, E. I. Patterson (2007)

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DOI: 10.1007/S10479-006-0129-1

access: closed

type: Journal Article

metadata version: 2020-08-13

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N. C. P. Edirisinghe, E. I. Patterson:
Multi-period stochastic portfolio optimization: Block-separable decomposition. Ann. Oper. Res. 152(1): 367-394 (2007)

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