Portfolio selection in a multi-moment setting: A simple Monte-Carlo-FDH algorithm

Nicolas Nalpas, Leopold Simar and Anne Vanhems

No 2017027, LIDAM Reprints ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)

Date: 2017-01-01
Note: In : European Journal of Operational Research, vol. 263, no.1, p. 308-320 (2017)
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