A class of multi-period semi-variance portfolio selection with a four-factor futures price model
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Publication:1032527
DOI10.1007/s12190-008-0086-8zbMath1183.91174OpenAlexW2012587101MaRDI QIDQ1032527
Publication date: 26 October 2009
Published in: Journal of Applied Mathematics and Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s12190-008-0086-8
Statistical methods; risk measures (91G70) Learning and adaptive systems in artificial intelligence (68T05) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Neural nets and related approaches to inference from stochastic processes (62M45)
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