Complexity of Scenario-Based Portfolio Optimization Problem with VaR Objective.

Xiaoguang YangShuo TaoRongjun LiuMao-cheng Cai
Published in: Int. J. Found. Comput. Sci. (2002)
Keyphrases
  • multiscale
  • worst case
  • nature inspired
  • complexity analysis
  • machine learning
  • bayesian networks
  • multi agent
  • computational cost
  • decision problems
  • portfolio optimization
  • risk measures