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Mean-variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics.
Arti Singh
Selvamuthu Dharmaraja
Published in:
Math. Methods Oper. Res. (2017)
Keyphrases
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autoregressive
stochastic dominance
dynamical model
moving average
gaussian markov random field
non stationary
random fields
random variables
fuzzy random variables
autoregressive model
higher order
random field models
optimal control
spectrum analysis
sar images
pairwise
bayesian networks
computer vision