Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets.

Winston S. Buckley Hongwei Long Mario Marshall

Published in: Eur. J. Oper. Res. (2016)

Keyphrases

dynamic programming
closed form
optimal solution
neural network
numerical methods
efficient computation
np hard
worst case
rough sets
electronic commerce
optimal control
optimal design
portfolio selection
optimal portfolio