Sparse mean-variance customer Markowitz portfolio optimization for Markov chains: a Tikhonov's regularization penalty approach (Q1787328): Difference between revisions

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Sparse mean-variance customer Markowitz portfolio optimization for Markov chains: a Tikhonov's regularization penalty approach
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    Sparse mean-variance customer Markowitz portfolio optimization for Markov chains: a Tikhonov's regularization penalty approach (English)
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    5 October 2018
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    mean-variance customer portfolio
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    sparse
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    penalty function
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    Tikhonov's regularization
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    Markov decision processes
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