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Mean-Variance Portfolio Selection for Partially Observed Point Processes.

Jie XiongYong ZengShuaiqi Zhang
Published in: SIAM J. Control. Optim. (2020)
Keyphrases
  • portfolio selection
  • partially observed
  • point processes
  • monte carlo
  • hot spots
  • portfolio optimization
  • portfolio management
  • financial markets
  • robust optimization
  • spatial analysis
  • multiple objectives
  • markov chain