Browsing by Author "Dang, Jing"

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Swarm intelligent optimisation based stochastic programming model for dynamic asset allocation

Dang, Jing ; Edelman, David ; Hochreiter, Ronald ; Brabazon, Anthony (IEEE Press, 2010-07)

Asset allocation is critical for the portfolio management process. In this paper, we solve a dynamic asset allocation problem through a multiperiod stochastic programming model. The objective is to maximise the expected ...