Network Modularity based Clustering for Portfolio Allocation: a Monte-Carlo Simulation Study.
Stefano FerrettiSara MontagnaPublished in: DS-RT (2022)
Keyphrases
- simulation study
- monte carlo
- monte carlo simulation
- importance sampling
- markov chain
- monte carlo methods
- particle filter
- markovian decision
- adaptive sampling
- clustering algorithm
- network structure
- k means
- complex networks
- variance reduction
- monte carlo method
- stochastic approximation
- temporal difference
- allocation scheme
- data points
- monte carlo tree search
- learning algorithm