Worst-case robust decisions for multi-period mean-variance portfolio optimization.
Nalan GülpinarBerç RustemPublished in: Eur. J. Oper. Res. (2007)
Keyphrases
- portfolio optimization
- multi period
- robust optimization
- worst case
- portfolio selection
- investment decisions
- lot sizing
- risk management
- problems involving
- stock market
- factor analysis
- routing problem
- bi objective
- planning horizon
- production planning
- mathematical programming
- greedy algorithm
- stock price
- decision making
- optimization methods
- facility location problem
- stock exchange
- multi item
- np hard
- decision makers
- total cost
- upper bound
- lower bound