Massively parallel processing of recursive multi-period portfolio models
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Publication:1751815
DOI10.1016/j.ejor.2016.10.009zbMath1395.91418MaRDI QIDQ1751815
Publication date: 25 May 2018
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2016.10.009
finance; portfolio efficiency; massively parallel processing; recursive multi-period portfolio modeling
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
91G70: Statistical methods; risk measures
90C15: Stochastic programming
93E20: Optimal stochastic control
91G10: Portfolio theory
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