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Practical volume computation of structured convex bodies, and an application to modeling portfolio dependencies and financial crises.
Ludovic Calès
Apostolos Chalkis
Ioannis Z. Emiris
Vissarion Fisikopoulos
Published in:
CoRR (2018)
Keyphrases
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portfolio optimization
decision making
real world
databases
practical application
financial data
portfolio management
database
non stationary
structured data
convex hull
stock market
convex optimization
efficient computation
modeling method