Portfolio selection in a multi-moment setting: A simple Monte-Carlo-FDH algorithm.

Nicolas Nalpas Léopold Simar Anne Vanhems

Published in: Eur. J. Oper. Res. (2017)

Keyphrases

monte carlo
stochastic approximation
learning algorithm
portfolio selection
importance sampling
monte carlo simulation
dynamic programming
markov chain
computational cost
worst case
kalman filter
mathematical programming
np hard
long term
particle filter
optimal solution
reinforcement learning