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A Dynamic Stochastic Programming Model for Bond Portfolio Management.

Liyong YuShouyang WangYue WuKin Keung Lai
Published in: International Conference on Computational Science (2004)
Keyphrases
  • stochastic programming
  • multistage
  • linear program
  • portfolio management
  • objective function
  • feature space
  • case based reasoning
  • robust optimization