Robust mirror descent SA method solving a class of portfolio problems

MaRDI QIDQ3381261zbMATH OpenFDO

Authors Wei Wang, Sanshuo Li, Dandan Wang

Publication date 29 September 2021

zbMATH Keywords

investment portfolio problemrobust mirror descent SA methodstochastic optimization

Mathematics Subject Classification ID

Portfolio theory (91G10) Optimal stochastic control (93E20)

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