Importance sampling in stochastic optimization: an application to intertemporal portfolio choice (Q2183315)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Importance sampling in stochastic optimization: an application to intertemporal portfolio choice |
scientific article |
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Importance sampling in stochastic optimization: an application to intertemporal portfolio choice (English)
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26 May 2020
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stochastic programming
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scenario generation
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Monte Carlo simulation
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variance reduction techniques
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portfolio optimization
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