A Mean-Variance Approach to Capital Investment Optimization.
Alain BensoussanSingRu Celine HoeZhongfeng YanPublished in: SIAM J. Financial Math. (2019)
Keyphrases
- optimization algorithm
- global optimization
- discrete optimization
- decision making
- optimization problems
- joint optimization
- risk aversion
- optimization methods
- combinatorial optimization
- utility function
- particle swarm optimization
- mathematical programming
- optimal design
- information retrieval
- neural network
- portfolio optimization
- return on investment
- real time