Examines dynamic trading of a portfolio of assets in discrete periods over a finite time horizon, with arbitrary time-varying distribution of asset returns. The goal is to maximize the total expected revenue from the portfolio, while respecting constraints on the portfolio like a required terminal portfolio and leverage and risk limits. The revenue takes into account the gross cash generated in trades, transaction costs, and costs associated with the positions, such as fees for holding short positions. The model that is ...
Read More
Examines dynamic trading of a portfolio of assets in discrete periods over a finite time horizon, with arbitrary time-varying distribution of asset returns. The goal is to maximize the total expected revenue from the portfolio, while respecting constraints on the portfolio like a required terminal portfolio and leverage and risk limits. The revenue takes into account the gross cash generated in trades, transaction costs, and costs associated with the positions, such as fees for holding short positions. The model that is presented takes the form of a stochastic control problem with linear dynamics and convex cost function and constraints. While this problem can be tractably solved in several special cases - for example, when all costs are convex quadratic, or when there are no transaction costs - the focus is on the more general case, with nonquadratic cost terms and transaction costs. Performance Bounds and Suboptimal Policies for Multi-Period Investment shows how to use linear matrix inequality techniques and semidefinite programming to produce a quadratic bound on the value function, which in turn gives a bound on the optimal performance. This performance bound can be used to judge the performance obtained by any suboptimal policy. As a by-product of the performance bound computation, an approximate dynamic programming policy is obtained that requires the solution of a convex optimization problem, often a quadratic program, to determine the trades to carry out in each step.
Read Less
Add this copy of Performance Bounds and Suboptimal Policies for Multi to cart. $13.75, like new condition, Sold by Hay-on-Wye Booksellers rated 4.0 out of 5 stars, ships from Hereford, UNITED KINGDOM, published 2014 by now publishers Inc.
Choose your shipping method in Checkout. Costs may vary based on destination.
Seller's Description:
Fine. NEW/UNUSED-Some outer edges have minor scuffs. Cover has light scratches. Textblock has shelf wear. Reading content is in new condition. Despatched within 24 hours. Foundations and TrendsŪ in Optimization . Intended for college/higher education audience.
Add this copy of Performance Bounds and Suboptimal Policies for Multi to cart. $60.12, new condition, Sold by Ingram Customer Returns Center rated 5.0 out of 5 stars, ships from NV, USA, published 2014 by now publishers Inc.
Add this copy of Performance Bounds and Suboptimal Policies for Multi to cart. $83.16, new condition, Sold by Paperbackshop rated 4.0 out of 5 stars, ships from Bensenville, IL, UNITED STATES, published 2014 by now publishers Inc.
Add this copy of Performance Bounds and Suboptimal Policies for Multi to cart. $89.31, new condition, Sold by Booksplease rated 3.0 out of 5 stars, ships from Southport, MERSEYSIDE, UNITED KINGDOM, published 2014 by now publishers Inc.
