Computing strategies for achieving acceptability: a Monte Carlo approach (Q2464857)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Computing strategies for achieving acceptability: a Monte Carlo approach |
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Computing strategies for achieving acceptability: a Monte Carlo approach (English)
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17 December 2007
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The author proposes a Monte Carlo algorithm for capital requirement and trading strategy, when the trader wants to direct her portfolio towards a set of acceptable wealths given by a convex risk measure.
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measures of risk
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VC dimension
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portfolio optimization
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Neyman-Pearson lemma
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optimization algorithm
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