16088 search results - page 1 / 3218 » A Mean-Variance Optimization algorithm |
CEC
2010
IEEE
13 years 6 months ago
2010
IEEE
A new stochastic optimization algorithm referred to by the authors as the `Mean-Variance Optimization' (MVO) algorithm is presented in this paper. MVO falls into the category ...
CORR
2011
Springer
12 years 12 months ago
2011
Springer
We consider finite horizon Markov decision processes under performance measures that involve both the mean and the variance of the cumulative reward. We show that either randomiz...
ECIR
2009
Springer
14 years 2 months ago
2009
Springer
Abstract. This paper concerns document ranking in information retrieval. In information retrieval systems, the widely accepted probability ranking principle (PRP) suggests that, fo...
EOR
2011
12 years 12 months ago
2011
We develop a numerical scheme for determining the optimal asset allocation strategy for time-consistent, continuous time, mean variance optimization. Any type of constraint can be...
IJCNN
2006
IEEE
13 years 11 months ago
2006
IEEE
