Melanie B. Rudoy

According to our database¹, Melanie B. Rudoy authored at least 3 papers between 2008 and 2009.

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2009

Multistage mean-variance portfolio selection in cointegrated vector autoregressive systems.

[BibT_eX]

[DOI]

PhD thesis, 2009

2008

A dynamic programming approach to two-stage mean-variance portfolio selection in cointegrated vector autoregressive systems.

[BibT_eX]

[DOI]

Proceedings of the 47th IEEE Conference on Decision and Control, 2008

Optimal mean-variance portfolio construction in cointegrated vector autoregressive systems.

[BibT_eX]

[DOI]

Proceedings of the American Control Conference, 2008