Titlebook: Optimal Financial Decision Making under Uncertainty; Giorgio Consigli,Daniel Kuhn,Paolo Brandimarte Book 2017 Springer International Publi

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The Growth Optimal Investment Strategy Is Secure, Too,ryless and for Markov market processes. A kind of security indicator of an investment strategy can be the market time achieving a target wealth. It is shown that the log-optimal principle is optimal in this respect.

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Multi-Period Risk Measures and Optimal Investment Policies,res to effectively control risk exposure within dynamic programs. In the third part, we consider the application of multi-period measures to optimal investment policy selection, clarifying how portfolio selection models adapt to different risk measurement paradigms. In the fourth part we summarize a

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Asset Price Dynamics: Shocks and Regimes,d by the period by period observations on factors. The characterization of regimes follows from description in terms of the set of risk factors. In this paper the link between the shocks and regimes is explored. The shocks times defined by risk factors are an alternative method of determining regime

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Stabilizing Implementable Decisions in Dynamic Stochastic Programming, by reducing the degrees of freedom of the decision space in a financially meaningful way by constraining the decisions to lie within a carefully chosen subspace. This avoids overfitting the optimized decisions to the simulated in-sample scenarios which often do not generalize to unseen scenarios dr

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Leonard MacLean,Yonggan Zhaoen Ausma?e in beiden Richtungen etwa 40 bis h?chstens 60 cm betragen. Zur regelm??igen Blattbegrenzung dienen bei Karten meistens geographische Netzlinien (Meridiane und Parallelkreise), bei Pl?nen hingegen rundabst?ndige Senkrechte und Parallele zur Abszissenachse des Koordinatensystems. Im erstere

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Giuseppe Carlo Calafioreen Ausma?e in beiden Richtungen etwa 40 bis h?chstens 60 cm betragen. Zur regelm??igen Blattbegrenzung dienen bei Karten meistens geographische Netzlinien (Meridiane und Parallelkreise), bei Pl?nen hingegen rundabst?ndige Senkrechte und Parallele zur Abszissenachse des Koordinatensystems. Im erstere

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