Intelligent algorithm of optimal investment model under stochastic interest rate and stochastic volatility.
T. LuoNoura MetawaPublished in: J. Intell. Fuzzy Syst. (2019)
Keyphrases
- probabilistic model
- locally optimal
- dynamic programming
- optimal solution
- mathematical model
- theoretical analysis
- objective function
- closed form
- cost function
- stochastic model
- stochastic dynamic programming
- classification algorithm
- np hard
- stochastic process
- computational complexity
- estimation algorithm
- worst case
- input data
- monte carlo
- recognition algorithm
- globally optimal
- energy function
- tree structure
- learning algorithm
- expectation maximization
- hidden markov models
- k means
- similarity measure
- neural network
- parameter estimation
- segmentation algorithm
- em algorithm
- hybrid model
- probability distribution
- search space
- state dependent
- stochastic approximation
- operating point