Mean-variance optimization for simulation of order flow
Year of publication: |
2022
|
---|---|
Authors: | Kolm, Petter N. ; Westray, Nicholas |
Published in: |
The journal of portfolio management : JPM. - London : IPR Journals, ISSN 2168-8656, ZDB-ID 2046318-2. - Vol. 48.2022, 6, p. 185-195
|
Subject: | Theorie | Theory | Simulation | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection |
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