Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: A stochastic programming approach.
Stein-Erik FletenSnorre LindsetPublished in: Eur. J. Oper. Res. (2008)
Keyphrases
- transaction costs
- stochastic programming
- multi period
- multistage
- production planning
- linear program
- lot sizing
- optimal strategy
- dynamic programming
- multi item
- data envelopment analysis
- stock exchange
- planning horizon
- facility location problem
- optimal control
- lot size
- linear programming
- portfolio selection
- robust optimization
- input output
- worst case
- decision making
- optimal solution