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 ...
Istvan Erlich, Ganesh K. Venayagamoorthy, Nakawiro...
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...
Abstract. This paper concerns document ranking in information retrieval. In information retrieval systems, the widely accepted probability ranking principle (PRP) suggests that, fo...
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...