Stochastic portfolio optimization models for the stable growth benchmark tracking
碩士 === 國立政治大學 === 應用數學研究所 === 100 === To construct a portfolio tracking specific target line, this thesis studies how to do it via two-stage stochastic mixed-integer nonlinear model. We introduce scenario tree to convert this stochastic model into an deterministic equivalent model. Under the volatil...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Online Access: | http://ndltd.ncl.edu.tw/handle/27134635204306716633 |