Application of the Monte-Carlo method to nonlinear stochastic optimization with linear constraints

Informatica

Volumn 15, Issue 2, 2004, Pages 271-282

  Sakalauskas, Leonidas ^a  

^a VILNIUS UNIVERSITY   (Lithuania)

Author keywords

Monte Carlo method; Portfolio optimization; Stochastic programming; feasible solution

Indexed keywords

EID: 4344596763     PISSN: 08684952     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (22)

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