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Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection.

Koen Van WeertJan DhaeneMarc J. Goovaerts
Published in: J. Comput. Appl. Math. (2011)
Keyphrases
  • portfolio selection
  • dynamic programming
  • long term
  • optimal portfolio
  • data mining
  • worst case
  • simulated annealing
  • portfolio management