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Mean-Variance Portfolio Selection for Partially Observed Point Processes.
Jie Xiong
Yong Zeng
Shuaiqi Zhang
Published in:
SIAM J. Control. Optim. (2020)
Keyphrases
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portfolio selection
partially observed
point processes
monte carlo
hot spots
portfolio optimization
portfolio management
financial markets
robust optimization
spatial analysis
multiple objectives
markov chain