Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability.
Haixiang YaoZhongfei LiDuan LiPublished in: Eur. J. Oper. Res. (2016)
Keyphrases
- portfolio selection
- multi period
- optimal portfolio
- production planning
- facility location problem
- portfolio optimization
- routing problem
- planning horizon
- data envelopment analysis
- lot sizing
- financial markets
- multi item
- robust optimization
- total cost
- monte carlo
- multiple objectives
- approximation algorithms
- setup cost
- lot size