Scenario-based stochastic model and efficient cross-entropy algorithm for the risk-budgeting problem (Q6644358)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Scenario-based stochastic model and efficient cross-entropy algorithm for the risk-budgeting problem |
scientific article; zbMATH DE number 7950214
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Scenario-based stochastic model and efficient cross-entropy algorithm for the risk-budgeting problem |
scientific article; zbMATH DE number 7950214 |
Statements
Scenario-based stochastic model and efficient cross-entropy algorithm for the risk-budgeting problem (English)
0 references
27 November 2024
0 references
portfolio selection problem
0 references
risk budgeting problem
0 references
stochastic bi-level model
0 references
cardinality constraint
0 references
cross-entropy algorithm
0 references
0 references
