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Optimal partial hedging in a discrete-time market as a knapsack problem

✍ Scribed by Peter Lindberg

Book ID
105857573
Publisher
Springer
Year
2010
Tongue
English
Weight
253 KB
Volume
72
Category
Article
ISSN
0340-9422

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πŸ“œ SIMILAR VOLUMES

Hybrid method for a general optimal sens
Hybrid method for a general optimal sensor scheduling problem in discrete time
✍ Z.G. Feng; K.L. Teo; V. Rehbock πŸ“‚ Article πŸ“… 2008 πŸ› Elsevier Science 🌐 English βš– 566 KB

In this paper, we consider a general class of optimal sensor scheduling problems in discrete time. There are N 1 sensors available for acquiring data so as to estimate the needed but unknown signal. Only N 2 out of the N 1 sensors can be turned on at any moment, while different weights can be assign