Nested Simulation in Portfolio Risk Measurement.
Michael B. GordySandeep JunejaPublished in: Manag. Sci. (2010)
Keyphrases
- portfolio management
- simulation study
- decision making
- simulation model
- market data
- portfolio optimization
- data sets
- databases
- mathematical model
- simulation environment
- portfolio theory
- database
- risk sensitive
- investment strategies
- simulation models
- numerical simulations
- artificial neural networks
- reinforcement learning
- information systems
- machine learning
- neural network
- real time