A novel multi period mean-VaR portfolio optimization model considering practical constraints and transaction cost.
Hossein BabazadehAkbar EsfahanipourPublished in: J. Comput. Appl. Math. (2019)
Keyphrases
- optimization model
- transaction costs
- multi period
- portfolio management
- production planning
- optimization process
- facility location problem
- routing problem
- planning horizon
- lot sizing
- portfolio selection
- total cost
- stock exchange
- decision making
- constraint programming
- knapsack problem
- multistage
- data envelopment analysis
- supply chain