OPTIMAL INVESTMENT PROBLEM WITH OPTION (Q3456265)

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OPTIMAL INVESTMENT PROBLEM WITH OPTION
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    title
    OPTIMAL INVESTMENT PROBLEM WITH OPTION (English)
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    DOI
    10.12732/ijam.v28i4.5
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    author
    M. Baweja
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    Deepak Sehgal
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    publication date
    11 December 2015
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    Mathematics Subject Classification ID
    49N90
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    49N05
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    49J55
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    93E20
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    90C06
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    65K10
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    65C99
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    60H10
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    zbMATH DE Number
    6520476
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    zbMATH Keywords
    large scale optimization
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    portfolio theory
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    conditional value-at-risk
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    option
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    stochastic simulation optimization
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