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Two-Stage Stochastic International Portfolio Optimisation under Regular-Vine-Copula-Based Scenarios.
Nonthachote Chatsanga
Andrew J. Parkes
Published in:
CoRR (2017)
Keyphrases
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integer programming
linear program
stochastic optimization
decision making
genetic algorithm
real world
dependence structure
database
information retrieval
monte carlo simulation
world wide
evolutionary algorithm
management science
portfolio management
risk averse