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Optimal portfolio trading subject to stochastic dominance constraints under second-order autoregressive price dynamics.
Arti Singh
Selvamuthu Dharmaraja
Published in:
Int. Trans. Oper. Res. (2020)
Keyphrases
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autoregressive
stochastic dominance
moving average
non stationary
random variables
random fields
gaussian markov random field
higher order
portfolio selection
optimal portfolio
genetic algorithm
graphical models
scale space
financial markets