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Scenario Generation for Single-Period Portfolio Selection Problems with Tail Risk Measures: Coping with High Dimensions and Integer Variables.
Jamie Fairbrother
Amanda Turner
Stein W. Wallace
Published in:
INFORMS J. Comput. (2018)
Keyphrases
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portfolio selection
risk measures
robust optimization
portfolio optimization
optimization problems
mathematical programming
machine learning
genetic algorithm
reinforcement learning
continuous variables
capacity expansion