Temporal aggregation effects on the construction of portfolios of stocks or mutual funds through optimization techniques. Some empirical and Monte Carlo results.
George XanthosDikaios TserkezosPublished in: Oper. Res. (2007)
Keyphrases
- monte carlo
- temporal aggregation
- global illumination
- investment strategies
- monte carlo simulation
- markov chain
- temporal databases
- adaptive sampling
- variance reduction
- confidence intervals
- monte carlo methods
- importance sampling
- spatio temporal
- monte carlo tree search
- stock market
- machine learning
- markovian decision
- temporal data
- particle filter
- temporal difference
- matrix inversion
- quasi monte carlo
- database
- stock price
- point processes
- state space