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Belief Propagation Algorithm for Portfolio Optimization Problems
The typical behavior of optimal solutions to portfolio optimization problems with absolute deviation and expected shortfall models using replica analysis was pioneeringly estimated by S. Ciliberti et al. [Eur. Phys. B. 57, 175 (2007)]; however, they have not yet developed an approximate derivation m...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Public Library of Science
2015
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4549256/ https://www.ncbi.nlm.nih.gov/pubmed/26305462 http://dx.doi.org/10.1371/journal.pone.0134968 |