Multi-period portfolio selection with drawdown control.

Peter Nystrup Stephen P. Boyd Erik Lindström Henrik Madsen

Published in: Ann. Oper. Res. (2019)

Keyphrases

portfolio selection
multi period
production planning
planning horizon
data envelopment analysis
optimal portfolio
genetic algorithm
lot sizing
financial markets
multi item
facility location problem
robust optimization
expert systems
multi objective
monte carlo
lot size