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Adaptive algorithms for maximizing overall stock return

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  • Charles Lee
  • Kristy Tran

Abstract

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Suggested Citation

  • Charles Lee & Kristy Tran, 2010. "Adaptive algorithms for maximizing overall stock return," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 33(2), pages 81-95, November.
    • Handle: RePEc:spr:decfin:v:33:y:2010:i:2:p:81-95
    DOI: 10.1007/s10203-009-0096-5
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    References listed on IDEAS

    as
    1. Boyle, Phelim P., 1977. "Options: A Monte Carlo approach," Journal of Financial Economics, Elsevier, vol. 4(3), pages 323-338, May.
    2. R. Brummelhuis & A. Córdoba & M. Quintanilla & L. Seco, 2002. "Principal Component Value at Risk," Mathematical Finance, Wiley Blackwell, vol. 12(1), pages 23-43, January.
    3. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    Full references (including those not matched with items on IDEAS)

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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

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