Power mapping with dynamical adjustment for improved portfolio optimization
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Publication:5189719
DOI10.1080/14697680902748498zbMath1198.91195OpenAlexW1966215098MaRDI QIDQ5189719
Thomas Guhr, Nils Fredrik Nilsson, Rudi Schäfer
Publication date: 11 March 2010
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680902748498
Monte Carlo methodsnumerical simulationportfolio optimizationfinancial marketseconophysicsdynamic modelscorrelation structures
Numerical methods (including Monte Carlo methods) (91G60) Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Portfolio theory (91G10)
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