figment
发表于 2025-3-30 11:33:42
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HARP
发表于 2025-3-30 12:41:36
https://doi.org/10.1007/978-1-4757-3613-7Monte Carlo Simulation; Simulation; Stochastic Optimization; Stochastic Programming; algorithms; calculus
Acclaim
发表于 2025-3-30 17:28:34
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Working-Memory
发表于 2025-3-30 20:57:20
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Vldl379
发表于 2025-3-31 03:58:39
Impact of Substracte on Performance,ario tree. The mean or variance of total wealth at the end of the planning horizon can be optimised by solving either a linear stochastic program or a quadratic stochastic program, respectively; solution of many almost identical quadratic stochastic programs yields points describing the Markowitz ef
违法事实
发表于 2025-3-31 08:09:54
https://doi.org/10.1007/b100751 at some discrete points of time. The uncertain evolution of future cashflows and of the capital markets is modeled with stochastic processes which have to be discretized in order to formulate a deterministic equivalent. We use the barycentric approximation which has proved to be a promising discret
Innovative
发表于 2025-3-31 12:11:58
Impact of Substracte on Performance,lysis, or min-max. Robustness is ensured by considering the the optimal strategy in view of multiple scenarios generated and evaluating the portfolio corresponding to the best performance, simultaneously with the worst-case scenario. The robust property follows from the fact that the resulting strat
木质
发表于 2025-3-31 15:19:21
Impact of Substracte on Performance,timization problem. We consider different forms of calculating the mean and semivariance of the tracking error. It is desired to minimize an objective function defined as a convex combination of the risk function minus the expected return of the tracking error.
全国性
发表于 2025-3-31 19:42:14
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