Adaptive algorithms for maximizing overall stock return

DOI10.1007/S10203-009-0096-5zbMath1198.91238OpenAlexW2090202555MaRDI QIDQ604682

Kristy Tran, Charles H. Lee

Publication date: 12 November 2010

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-009-0096-5

zbMATH Keywords

proper orthogonal decompositionoptimal allocationadaptive portfolio optimization

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

Related Items (1)

Reduced-Order Methods in Medical Imaging

Cites Work

• The Pricing of Options and Corporate Liabilities
• Reduced-order-based feedback control of the Kuramoto--Sivashinsky equation
• On the relation between low-dimensional models and the dynamics of coherent structures in the turbulent wall layer
• Proper orthogonal decomposition for flow calculations and optimal control in a horizontal CVD reactor
• Principal Component Value at Risk
• Modeling and control of physical processes using proper orthogonal decomposition

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