Asset allocation using reliability method

Mathematical and Computer Modelling

Volumn 50, Issue 1-2, 2009, Pages 21-31

  Hanafizadeh, P ^a   Ponnambalam, K ^b  

^a ALLAMEH TABATABA'I UNIVERSITY   (Iran)

^b UNIVERSITY OF WATERLOO   (Canada)

Author keywords

Advanced first order second moment; Asset allocation; Probabilistic optimization

Indexed keywords

ADVANCED FIRST-ORDER SECOND MOMENT; ASSET ALLOCATION; DECISION PROBLEMS; DECISION VARIABLES; FIRST-ORDER; MONTE CARLO SIMULATION; NONLINEAR LOSS; NONLINEAR UTILITY FUNCTIONS; OBJECTIVE FUNCTIONS; PROBABILISTIC OPTIMIZATION; QUALITY OF SOLUTION; RECURSIVE OPTIMIZATION; RELIABILITY METHODS; SECOND MOMENTS; TRANSACTION COST;

ADAPTIVE ALGORITHMS; CONVERGENCE OF NUMERICAL METHODS; INVESTMENTS; MONTE CARLO METHODS; OPTIMIZATION; QUALITY CONTROL; RECURSIVE FUNCTIONS; RELIABILITY ANALYSIS;

METHOD OF MOMENTS;

EID: 67349196740     PISSN: 08957177     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.mcm.2009.02.008     Document Type: Article

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