Portfolio choice and optimal hedging with general risk functions: A simplex-like algorithm.
Alejandro BalbásRaquel BalbásSilvia MayoralPublished in: Eur. J. Oper. Res. (2009)
Keyphrases
- dynamic programming
- worst case
- optimal solution
- computational complexity
- detection algorithm
- learning algorithm
- k means
- closed form
- matching algorithm
- high accuracy
- np hard
- experimental evaluation
- objective function
- multi objective
- neural network
- probabilistic model
- significant improvement
- optimal parameters
- simulated annealing
- expectation maximization
- path planning
- efficiently computable
- optimal strategy
- similarity measure
- preprocessing
- optimization algorithm
- linear programming
- search space
- special case