Portfolio Optimization by Means of Multiple Tandem Certainty-Uncertainty Searches A Technical Description

This paper describes a new approach to optimization under uncertainty that is aimed at finding the optimal solution to a problem by designing a number of search algorithms or schemes in a way that allows analysts to apply to a problem that contains a significantly larger number of decision variables...

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Detalles Bibliográficos
Autor principal: Chow, Brian G. (auth)
Formato: Electrónico Capítulo de libro
Lenguaje:inglés
Publicado: RAND Corporation 2013
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Acceso en línea:DOAB: download the publication
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Descripción
Sumario:This paper describes a new approach to optimization under uncertainty that is aimed at finding the optimal solution to a problem by designing a number of search algorithms or schemes in a way that allows analysts to apply to a problem that contains a significantly larger number of decision variables, uncertain parameters, and uncertain scenarios than they have had to contend with until now.
ISBN:j.ctt5hhv17
9780833082954
Acceso:Open Access