Short Communication: Monte Carlo Expected Wealth and Risk Measure Trade-Off Portfolio Optimization.
Raino A. E. MäkinenJari ToivanenPublished in: SIAM J. Financial Math. (2024)
Keyphrases
- monte carlo
- portfolio optimization
- portfolio selection
- monte carlo simulation
- portfolio management
- markov chain
- optimization methods
- problems involving
- factor analysis
- monte carlo tree search
- robust optimization
- risk management
- stock market
- optimal strategy
- bi objective
- genetic algorithm
- stock price
- stock exchange
- particle filter
- communication networks
- variance reduction
- decision makers
- support vector