A stochastic programming approach for multi-period portfolio optimization.
Alois GeyerMichael HankeAlex WeissensteinerPublished in: Comput. Manag. Sci. (2009)
Keyphrases
- multi period
- portfolio optimization
- stochastic programming
- robust optimization
- lot sizing
- planning horizon
- production planning
- multistage
- portfolio management
- portfolio selection
- mathematical programming
- routing problem
- total cost
- bi objective
- lead time
- semidefinite programming
- linear program
- genetic algorithm
- integer programming
- vehicle routing problem
- stock market
- supply chain
- dynamic programming
- special case
- reinforcement learning
- decision making