Risk management in portfolio applications of non-convex stochastic programming.
Li-Ping PangShuang ChenJin-He WangPublished in: Appl. Math. Comput. (2015)
Keyphrases
- risk management
- stochastic programming
- portfolio optimization
- multistage
- robust optimization
- linear program
- chance constrained
- asset liability management
- decision support system
- portfolio selection
- risk assessment
- operational risk
- risk evaluation
- convex optimization
- risk analysis
- portfolio management
- financial markets
- commercial banks
- financial institutions
- project management
- mathematical programming
- machine learning
- dynamic programming
- multi agent systems
- optimal solution
- decision making
- artificial intelligence