Monte Carlo methods for mean-risk optimization and portfolio selection

Huifu Xu () and Dali Zhang

Computational Management Science, 2012, vol. 9, issue 1, 3-29

Keywords: Variance minimization; Sample average approximation; Risk management; Exponential convergence (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/s10287-010-0123-6

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