Multistage investments with recourse: A single-asset case with transaction costs.
Ufuk TopcuGiuseppe Carlo CalafioreLaurent El GhaouiPublished in: CDC (2008)
Keyphrases
- multistage
- transaction costs
- stochastic programming
- single stage
- production system
- dynamic programming
- multistage stochastic
- portfolio selection
- stochastic optimization
- search costs
- lot sizing
- robust optimization
- optimal policy
- portfolio management
- information technology
- decision theory
- stock exchange
- portfolio optimization