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Efficient finite difference method for optimal portfolio in a power utility regime-switching model.

Tihomir B. GyulovMiglena N. KolevaLubin G. Vulkov
Published in: Int. J. Comput. Math. (2019)
Keyphrases
  • probabilistic model
  • genetic algorithm
  • bayesian networks
  • decision makers
  • high order
  • computational complexity
  • multi objective
  • probability distribution
  • sensitivity analysis