Power mapping with dynamical adjustment for improved portfolio optimization

Quantitative Finance

Volumn 10, Issue 1, 2010, Pages 107-119

  Schäfer, Rudi ^a   Nilsson, Nils Fredrik ^b   Guhr, Thomas ^a  

^a UNIVERSITY OF DUISBURG ESSEN   (Germany)

^b LUND UNIVERSITY   (Sweden)

Author keywords

Correlation structures; Dynamic models; Econophysics; Financial markets; Monte carlo methods; Numerical simulation; Portfolio optimization

Indexed keywords

EID: 74249101831     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697680902748498     Document Type: Article

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