DYNAMIC OPTIMAL PORTFOLIO WITH LEARNING IN UNOBSERVABLE FACTOR MODELS

DYNAMIC OPTIMAL PORTFOLIO WITH LEARNING IN UNOBSERVABLE FACTOR MODELS

Master's

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Bibliographic Details
Main Author: ASHRI PUTRI RAHADI
Other Authors: ANALYTICS & OPERATIONS
Format: Theses and Dissertations
Language:English
Published: 2018
Subjects:
approximate dynamic programming, stochastic control, portfolio optimization, markov chain monte carlo, hidden factor models, bayesian learning
Online Access:http://scholarbank.nus.edu.sg/handle/10635/146937
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Institution: National University of Singapore
Language: English
id sg-nus-scholar.10635-146937
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spelling sg-nus-scholar.10635-1469372019-04-11T16:38:20Z DYNAMIC OPTIMAL PORTFOLIO WITH LEARNING IN UNOBSERVABLE FACTOR MODELS ASHRI PUTRI RAHADI ANALYTICS & OPERATIONS ANDREW EE BENG LIM approximate dynamic programming, stochastic control, portfolio optimization, markov chain monte carlo, hidden factor models, bayesian learning Master's MASTER OF SCIENCE (BUSINESS) 2018-08-31T18:00:40Z 2018-08-31T18:00:40Z 2018-05-04 Thesis ASHRI PUTRI RAHADI (2018-05-04). DYNAMIC OPTIMAL PORTFOLIO WITH LEARNING IN UNOBSERVABLE FACTOR MODELS. ScholarBank@NUS Repository. http://scholarbank.nus.edu.sg/handle/10635/146937 0000-0002-9849-9254 en
institution National University of Singapore
building NUS Library
country Singapore
collection ScholarBank@NUS
language English
topic approximate dynamic programming, stochastic control, portfolio optimization, markov chain monte carlo, hidden factor models, bayesian learning
spellingShingle approximate dynamic programming, stochastic control, portfolio optimization, markov chain monte carlo, hidden factor models, bayesian learning
ASHRI PUTRI RAHADI
DYNAMIC OPTIMAL PORTFOLIO WITH LEARNING IN UNOBSERVABLE FACTOR MODELS
description Master's
author2 ANALYTICS & OPERATIONS
author_facet ANALYTICS & OPERATIONS
ASHRI PUTRI RAHADI
format Theses and Dissertations
author ASHRI PUTRI RAHADI
author_sort ASHRI PUTRI RAHADI
title DYNAMIC OPTIMAL PORTFOLIO WITH LEARNING IN UNOBSERVABLE FACTOR MODELS
title_short DYNAMIC OPTIMAL PORTFOLIO WITH LEARNING IN UNOBSERVABLE FACTOR MODELS
title_full DYNAMIC OPTIMAL PORTFOLIO WITH LEARNING IN UNOBSERVABLE FACTOR MODELS
title_fullStr DYNAMIC OPTIMAL PORTFOLIO WITH LEARNING IN UNOBSERVABLE FACTOR MODELS
title_full_unstemmed DYNAMIC OPTIMAL PORTFOLIO WITH LEARNING IN UNOBSERVABLE FACTOR MODELS
title_sort dynamic optimal portfolio with learning in unobservable factor models
publishDate 2018
url http://scholarbank.nus.edu.sg/handle/10635/146937
_version_ 1681098682809712640

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