Multi-stage stochastic linear programs for portfolio optimization.
George B. DantzigGerd InfangerPublished in: Ann. Oper. Res. (1993)
Keyphrases
- stochastic programming
- multistage
- portfolio optimization
- linear program
- robust optimization
- dynamic programming
- portfolio selection
- problems involving
- linear programming
- lot sizing
- factor analysis
- single stage
- risk management
- mathematical programming
- stock market
- optimization methods
- bi objective
- stock price
- stock exchange
- optimal solution
- optimal policy
- special case