A Monte-Carlo method for portfolio optimization under partially observed stochastic volatility.
Rahul DesaiTanmay LeleFrederi ViensPublished in: CIFEr (2003)
Keyphrases
- monte carlo method
- partially observed
- portfolio optimization
- stock price
- stock market
- monte carlo
- markov chain
- stock exchange
- portfolio selection
- portfolio management
- problems involving
- genetic algorithm
- posterior distribution
- non stationary
- bayesian learning
- financial markets
- risk management
- financial data
- robust optimization
- financial time series
- maximum likelihood estimation
- bi objective
- exchange rate
- factor analysis
- historical data
- mathematical models
- news articles
- short term
- state space
- learning machines
- optimization methods