Robust scenario optimization based on downside-risk measure for multi-period portfolio selection.
Mustafa Ç. PinarPublished in: OR Spectr. (2007)
Keyphrases
- portfolio selection
- robust optimization
- multi period
- lot sizing
- planning horizon
- production planning
- mathematical programming
- facility location problem
- data envelopment analysis
- multiple objectives
- multi item
- routing problem
- optimization problems
- financial markets
- global optimization
- total cost
- combinatorial optimization
- multistage