Portfolio optimization with irreversible long-term investments in renewable energy under policy risk: A mixed-integer multistage stochastic model and a moving-horizon approach.
Nadine GatzertAlexander MartinMartin SchmidtBenjamin SeithNikolai VoglPublished in: Eur. J. Oper. Res. (2021)
Keyphrases
- financial markets
- portfolio optimization
- multistage
- stochastic model
- mixed integer
- lot sizing
- investment decisions
- long term
- portfolio selection
- stock market
- short term
- optimal policy
- risk management
- stock price
- robust optimization
- stock exchange
- stochastic programming
- dynamic programming
- production planning
- linear program
- feasible solution
- state space
- reinforcement learning
- convex hull
- decision support system
- infinite horizon
- feature space
- optimal solution
- continuous variables
- neural network
- simulated annealing
- search algorithm