Multiscale Asymptotic Analysis for Portfolio Optimization under Stochastic Environment.

Jean-Pierre Fouque Ruimeng Hu

Published in: Multiscale Model. Simul. (2020)

Keyphrases

matrix factorization
asymptotic analysis
portfolio optimization
factor analysis
fluid model
image processing
stochastic model
risk management
long term
problems involving
information systems
principal component analysis
stock market
portfolio selection