Monte Carlo methods for mean-risk optimization and portfolio selection
نویسندگان
چکیده
منابع مشابه
Monte Carlo methods for mean-risk optimization and portfolio selection
Stochastic programming is a well-known instrument to model many risk management problems in finance. In this paper we consider a stochastic programming model where the objective function is the variance of a random function and the constraint function is the expected value of the random function. Instead of using popular scenario tree methods, we apply the well-known sample average approximatio...
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ژورنال
عنوان ژورنال: Computational Management Science
سال: 2010
ISSN: 1619-697X,1619-6988
DOI: 10.1007/s10287-010-0123-6