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Performance replication of the Spot Energy Index with optimal equity portfolio selection: Evidence from the UK, US and Brazilian markets.
Kostas Andriosopoulos
Nikos Nomikos
Published in:
Eur. J. Oper. Res. (2014)
Keyphrases
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portfolio selection
optimal portfolio
financial markets
multistage stochastic
stock market
robust optimization
portfolio management
dynamic programming
multi objective
software development
asymptotically optimal
investment strategies
spot market