Naive versus optimal diversification: Tail risk and performance.

Inchang Hwang Simon Xu Francis In

Published in: Eur. J. Oper. Res. (2018)

Keyphrases

optimal solution
high risk
decision making
genetic algorithm
conditional expectation
brute force
risk factors
dynamic programming
worst case
closed form
evolutionary algorithm
optimal strategy
data structure
artificial intelligence
portfolio optimization
optimality criterion
machine learning