A note on allocation of portfolio shares of random assets with Archimedean copula.
Xiaohu LiYinping YouPublished in: Ann. Oper. Res. (2014)
Keyphrases
- random vectors
- transaction costs
- investment decisions
- fuzzy random variables
- resource allocation
- optimal allocation
- uniformly distributed
- portfolio management
- asset allocation
- dynamic allocation
- investment strategies
- allocation scheme
- portfolio optimization
- random variables
- learning algorithm
- combinatorial auctions
- resource allocation problems
- gaussian mixture
- randomly generated
- stochastic dominance
- dea models
- allocation problems
- probability density function