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Multiperiod Stock Allocation via Robust Optimization.
Peter L. Jackson
John A. Muckstadt
Yuexing Li
Published in:
Manag. Sci. (2019)
Keyphrases
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robust optimization
chance constrained
mathematical programming
stochastic programming
portfolio selection
portfolio optimization
inventory management
resource allocation
stock market
risk measures
decision theory
chance constraints
optimization problems
lot sizing
artificial intelligence