Monte Carlo methods for mean-risk optimization and portfolio selection.
Huifu XuDali ZhangPublished in: Comput. Manag. Sci. (2012)
Keyphrases
- monte carlo methods
- portfolio selection
- portfolio optimization
- portfolio management
- monte carlo
- optimal portfolio
- robust optimization
- bayesian networks
- multiple objectives
- risk management
- financial markets
- simulated annealing
- multi objective
- investment decisions
- decision support system
- optimization problems
- support vector machine
- reinforcement learning
- decision making