Uncertain exit time multi-period mean-variance portfolio selection with endogenous liabilities and Markov jumps.
Haixiang YaoYongzeng LaiZhifeng HaoPublished in: Autom. (2013)
Keyphrases
- portfolio selection
- multi period
- markov chain
- production planning
- facility location problem
- planning horizon
- portfolio optimization
- routing problem
- multi item
- financial markets
- decision making
- data envelopment analysis
- total cost
- robust optimization
- multiple objectives
- state space
- monte carlo
- traffic flow
- lead time
- production system
- lot size
- lower bound
- optimal solution