A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function.
Taras BodnarNestor ParolyaWolfgang SchmidPublished in: Ann. Oper. Res. (2015)
Keyphrases
- utility function
- multi period
- production planning
- facility location problem
- decision makers
- planning horizon
- data envelopment analysis
- multi attribute
- multi item
- decision problems
- routing problem
- decision theory
- expected utility
- lot sizing
- probability distribution
- risk aversion
- decision making
- objective function
- lead time
- portfolio selection
- total cost
- facility location
- lot size
- portfolio management
- input output
- computational complexity
- utility elicitation