Marcos Escobar-Anel. A dynamic programming approach to path-dependent constrained portfolios. Annals OR, 315(1):141-157, 2022. [doi]
@article{Escobar-Anel22,
title = {A dynamic programming approach to path-dependent constrained portfolios},
author = {Marcos Escobar-Anel},
year = {2022},
doi = {10.1007/s10479-022-04640-4},
url = {https://doi.org/10.1007/s10479-022-04640-4},
researchr = {https://researchr.org/publication/Escobar-Anel22},
cites = {0},
citedby = {0},
journal = {Annals OR},
volume = {315},
number = {1},
pages = {141-157},
}