Otimizacao Multiperiodo
Mostrando 13-13 de 13 artigos, teses e dissertações.
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13. Seleção ótima de ativos multi-período com restrições intermediárias utilizando o critério de média-variância. / Multi-period mean-variance portfolio selection problem with intermediate constraints.
The subject of this thesis is the study of multi-period portfolio optimization problems. We focus on a model with intermediate constraints formulated as an optimal control problem and solved by using dynamic programming techniques. Both theoretical and practical issues are addressed. Firstly we will analyze the main hypothesis of portfolio optimization model
Publicado em: 2006