Adaptive algorithms for maximizing overall stock return

DOI10.1007/S10203-009-0096-5zbMATH Open1198.91238OpenAlexW2090202555MaRDI QIDQ604682FDOQ604682

Authors: Charles H. Lee, Kristy Tran 

Publication date: 12 November 2010

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-009-0096-5

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zbMATH Keywords

proper orthogonal decompositionoptimal allocationadaptive portfolio optimization

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

Cites Work

• The pricing of options and corporate liabilities
• Proper orthogonal decomposition for flow calculations and optimal control in a horizontal CVD reactor
• Modeling and control of physical processes using proper orthogonal decomposition
• On the relation between low-dimensional models and the dynamics of coherent structures in the turbulent wall layer
• Reduced-order-based feedback control of the Kuramoto--Sivashinsky equation
• Principal Component Value at Risk

Cited In (4)

• Reduced-order methods in medical imaging
• Variable-length moving average approach and its application in stock investment
• ADAPTIVE INVESTMENT STRATEGIES FOR PERIODIC ENVIRONMENTS
• Research on intelligent investment of funds based on PE-local optimal algorithm

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