Asymptotic Optimal Strategy for Portfolio Optimization in a Slowly Varying Stochastic Environment.

Jean-Pierre Fouque Ruimeng Hu

Published in: SIAM J. Control. Optim. (2017)

Keyphrases

optimal strategy
portfolio optimization
slowly varying
monte carlo
risk management
decision problems
optimization methods
portfolio selection
stock market
expected utility
robust optimization
genetic algorithm
decision making
mathematical models
factor analysis
bi objective