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An algorithm for optimal portfolio selection problem with transaction costs and random lifetimes.
U. Jin Choi
Bong-Gyu Jang
Hyeng-Keun Koo
Published in:
Appl. Math. Comput. (2007)
Keyphrases
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dynamic programming
learning algorithm
worst case
transaction costs
optimal solution
computational complexity
k means
detection algorithm
search space
exhaustive search
np hard
simulated annealing
named entities
combinatorial optimization