Data-driven project portfolio selection: Decision-dependent stochastic programming formulations with reliability and time to market requirements.
Janne KettunenMiguel A. LejeunePublished in: Comput. Oper. Res. (2022)
Keyphrases
- portfolio selection
- stochastic programming
- multistage stochastic
- robust optimization
- portfolio management
- financial markets
- chance constrained
- decision making
- portfolio optimization
- multistage
- power generation
- risk averse
- linear program
- optimal portfolio
- decision theory
- mathematical programming
- stock price
- stock market
- multiple objectives
- expected utility
- transaction costs
- financial data
- influence diagrams
- project management
- decision problems
- decision makers
- dynamic programming
- feature space