29 citations · 78 across the 21 of their papers we have counts for
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q-fin.PM2010
A note on evolutionary stochastic portfolio optimization and probabilistic constraints
Ronald Hochreiter
In this note, we extend an evolutionary stochastic portfolio optimization framework to include probabilistic constraints. Both the stochastic programming-based modeling environment…
cs.NE2010★ 3 cited
Evolutionary multi-stage financial scenario tree generation
Ronald Hochreiter
Multi-stage financial decision optimization under uncertainty depends on a careful numerical approximation of the underlying stochastic process, which describes the future returns…