Marius A. Albota

MIT EECS

77 Massachusetts Avenue

Cambridge, MA 02139-4307

United States

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Optimal Rebalancing Strategy Using Dynamic Programming for Institutional Portfolios

Number of pages: 25 Posted: 03 Jan 2005
Walter Sun, Ayres C. Fan, Li-Wei Chen, Tom Schouwenaars and Marius A. Albota
MIT EECS, MIT EECS, MIT EECS, MIT EECS and MIT EECS
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Optimal portfolio rebalancing, dynamic programming, Monte Carlo simulations