Free shipping on orders over $99
Performance Bounds and Suboptimal Policies for Multi-Period Investment

Performance Bounds and Suboptimal Policies for Multi-Period Investment

by Mark T. MuellerYang Wang Stephen Boyd and others
Paperback
Publication Date: 01/01/2014

Share This Book:

RRP  $118.80

RRP means 'Recommended Retail Price' and is the price our supplier recommends to retailers that the product be offered for sale. It does not necessarily mean the product has been offered or sold at the RRP by us or anyone else.

$108.75
or 4 easy payments of $27.19 with
afterpay
This item qualifies your order for FREE DELIVERY
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.
ISBN:
9781601986726
9781601986726
Category:
Optimization
Format:
Paperback
Publication Date:
01-01-2014
Publisher:
now publishers Inc
Country of origin:
United States
Pages:
94
Dimensions (mm):
234x156x5mm
Weight:
0.15kg

This title is in stock with our Australian supplier and should arrive at our Sydney warehouse within 1-2 weeks of you placing an order.

Once received into our warehouse we will despatch it to you with a Shipping Notification which includes online tracking.

Please check the estimated delivery times below for your region, for after your order is despatched from our warehouse:

ACT Metro 2 working days

NSW Metro 2 working days 

NSW Rural 2-3 working days

NSW Remote 2-5 working days

NT Metro 3-6 working days

NT Remote 4-10 working days

QLD Metro 2-4 working days

QLD Rural 2-5 working days

QLD Remote 2-7 working days

SA Metro 2-5 working days

SA Rural 3-6 working days

SA Remote 3-7 working days

TAS Metro 3-6 working days

TAS Rural 3-6 working days

VIC Metro 2-3 working days

VIC Rural 2-4 working days

VIC Remote 2-5 working days

WA Metro 3-6 working days

WA Rural 4-8 working days

WA Remote 4-12 working days

Reviews

Be the first to review Performance Bounds and Suboptimal Policies for Multi-Period Investment.