Portfolio choice and optimal hedging with general risk functions: A simplex-like algorithm.

Alejandro Balbás Raquel Balbás Silvia Mayoral

Published 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