A performance evaluation of weight-constrained conditioned portfolio optimisation using a new numerical scheme for multisignal problems

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Boissaux, Marc; Schiltz, Jang

2014 • 8th Bachelier World Congress

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Disciplines :

Finance

Author, co-author :

Boissaux, Marc

Schiltz, Jang ; University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Luxembourg School of Finance (LSF)

External co-authors :

Language :

English

Title :

A performance evaluation of weight-constrained conditioned portfolio optimisation using a new numerical scheme for multisignal problems

Publication date :

03 June 2014

Event name :

8th Bachelier World Congress

Event organizer :

The Bachelier Finance Society

Event place :

Brussels, Belgium

Event date :

2.6.2014-6.6.2014

Audience :

International

Available on ORBilu :

since 17 July 2014

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