Monte Carlo methods for mean-risk optimization and portfolio selection
Stochastic programming is a well-known instrument to model many risk management problems in finance. In this paper we consider a stochastic programming model where the objective function is the variance of a random function and the constraint function is the expected value of the random function. I...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
2010.
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| Subjects: | |
| Online Access: | Get fulltext |