Stochastic programming models and methods for portfolio optimization and risk management
This project is focused on stochastic models and methods and their application in portfolio optimization and risk management. In particular it involves development and analysis of novel numerical methods for solving these types of problem. First, we study new numerical methods for a general second o...
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University of Southampton
2012
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| Online Access: | https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.568878 |