Solving multistage asset investment problems by the sample average approximation method (Q2502215)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Solving multistage asset investment problems by the sample average approximation method |
scientific article |
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Solving multistage asset investment problems by the sample average approximation method (English)
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12 September 2006
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stochastic programming
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asset allocation
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Monte Carlo sampling
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SAA method
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statistical bounds
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