"A dynamic programming approach to two-stage mean-variance portfolio ..."

Melanie B. Rudoy, Charles E. Rohrs (2008)

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DOI: 10.1109/CDC.2008.4738706

access: closed

type: Conference or Workshop Paper

metadata version: 2017-05-19

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Melanie B. Rudoy, Charles E. Rohrs:
A dynamic programming approach to two-stage mean-variance portfolio selection in cointegrated vector autoregressive systems. CDC 2008: 4280-4285

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