A portfolio approach to managing procurement risk using multi-stage stochastic programming.
Yuan ShiFeng WuLap Keung ChuDomenic SculliY. H. XuPublished in: J. Oper. Res. Soc. (2011)
Keyphrases
- stochastic programming
- multistage
- risk averse
- portfolio management
- chance constrained
- portfolio optimization
- single stage
- production system
- capacity planning
- decision making
- dynamic programming
- investment decisions
- lot sizing
- asset liability management
- stochastic optimization
- risk management
- supply chain management
- portfolio selection
- optimal policy
- sufficient conditions
- multi attribute
- knapsack problem
- assembly systems