Massively parallel processing of recursive multi-period portfolio models
DOI10.1016/J.EJOR.2016.10.009zbMATH Open1395.91418OpenAlexW2529921729MaRDI QIDQ1751815FDOQ1751815
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
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Portfolio theory (91G10) Stochastic programming (90C15) Optimal stochastic control (93E20)
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