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On tracking portfolios with certainty equivalents on a generalization of Markowitz model: the Fool, the Wise and the Adaptive.
Richard Nock
Brice Magdalou
Eric Briys
Frank Nielsen
Published in:
ICML (2011)
Keyphrases
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data sets
hidden markov models
probabilistic model
experimental data
neural network
objective function
probability distribution
computational model
object model
portfolio optimization