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Portfolio optimization via stochastic programming: Methods of output analysis.

Jitka Dupacová
Published in: Math. Methods Oper. Res. (1999)
Keyphrases
  • stochastic programming
  • portfolio optimization
  • artificial intelligence
  • data mining techniques
  • linear program
  • optimization methods
  • robust optimization
  • evolutionary algorithm
  • multistage
  • historical data