A study of asset portfolio risk control based on stochastic optimization
This paper analyzes the main methods of stochastic optimization algorithms to construct a stochastic optimization model. The focus is on the calculation method for risk minimization, combined with the SGD algorithm to guarantee the speed of sublinear convergence. The mean variance of the risk evalua...
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Sciendo
2024-01-01
|
| Series: | Applied Mathematics and Nonlinear Sciences |
| Subjects: | |
| Online Access: | https://doi.org/10.2478/amns.2023.2.00884 |