Adaptive algorithms for maximizing overall stock return

DOI10.1007/S10203-009-0096-5MaRDI QIDQ604682zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

proper orthogonal decompositionoptimal allocationadaptive portfolio optimization

Mathematics Subject Classification ID

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

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Cites work

• 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
• Principal Component Value at Risk
• Proper orthogonal decomposition for flow calculations and optimal control in a horizontal CVD reactor
• Reduced-order-based feedback control of the Kuramoto--Sivashinsky equation
• The pricing of options and corporate liabilities

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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