Robust portfolio selection based on a multi-stage scenario tree.

Ruijun Shen Shuzhong Zhang

Published in: Eur. J. Oper. Res. (2008)

Keyphrases

multistage
portfolio selection
multistage stochastic
robust optimization
stochastic programming
lot sizing
production system
stochastic optimization
single stage
dynamic programming
mathematical programming
optimal portfolio
machine learning
lot streaming
capacity expansion
financial markets
decision making