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The purpose of this note is make Theorem 13 in [2] more accessible.Restatements of the theorem already appeared in few of the authors'succeeding works but with no details. We wish in this note to give...
A note on evolutionary stochastic portfolio optimization and probabilistic constraints
portfolio optimization probabilistic constraints
2010/4/27
In this note, we extend an evolutionary stochastic portfolio optimization framework to include probabilistic constraints. Both the stochastic programming-based modeling environment as well as the evol...
