Monte Carlo methods for mean-risk optimization and portfolio selection
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Publication:373169
DOI10.1007/s10287-010-0123-6zbMath1273.91459OpenAlexW2046129952MaRDI QIDQ373169
Publication date: 21 October 2013
Published in: Computational Management Science (Search for Journal in Brave)
Full work available at URL: https://eprints.soton.ac.uk/151699/1/risk-8-Mar-2010.pdf
Numerical methods (including Monte Carlo methods) (91G60) Stochastic programming (90C15) Financial applications of other theories (91G80) Portfolio theory (91G10)
Related Items (5)
On relations between chance constrained and penalty function problems under discrete distributions ⋮ Convergence analysis of stationary points in sample average approximation of stochastic programs with second order stochastic dominance constraints ⋮ A review on ambiguity in stochastic portfolio optimization ⋮ Sparse Markowitz portfolio selection by using stochastic linear complementarity approach ⋮ On Monte-Carlo methods in convex stochastic optimization
Uses Software
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