6 search results - page 1 / 2 » Bayesian portfolio selection with multi-variate random varia... |
EOR
2006
13 years 4 months ago
2006
We consider multi-period portfolio selection problems for a decision maker with a specified utility function when the variance of security returns is described by a discrete time ...
IOR
2006
13 years 4 months ago
2006
The paper considers robust optimization to cope with uncertainty about the stock return process in one period option hedging problems. The robust approach relates portfolio choice ...
JORS
2010
12 years 11 months ago
2010
Monte Carlo simulation is a common method for studying the volatility of market traded instruments. It is less employed in retail lending, because of the inherent nonlinearities in...
WSC
1998
13 years 6 months ago
1998
An important problem in discrete-event stochastic simulation is the selection of the best system from a finite set of alternatives. There are many techniques for ranking and selec...
WSC
1997
13 years 6 months ago
1997
The problem of selecting the best system from a finite set of alternatives is considered from a Bayesian decision-theoretic perspective. The framework presented is quite general,...