Adaptive algorithms for maximizing overall stock return
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DOI: 10.1007/s10203-009-0096-5
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- Boyle, Phelim P., 1977. "Options: A Monte Carlo approach," Journal of Financial Economics, Elsevier, vol. 4(3), pages 323-338, May.
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More about this item
Keywords
Adaptive portfolio optimization; Optimal allocation; Proper orthogonal decomposition; 46N10; 46N40; C44; C61;All these keywords.
JEL classification:
- C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
Statistics
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