Multiperiod portfolio investment using stochastic programming with conditional value at risk.
Hung-Hsin ChenChang-Biau YangPublished in: Comput. Oper. Res. (2017)
Keyphrases
- stochastic programming
- investment decisions
- robust optimization
- portfolio optimization
- portfolio selection
- portfolio management
- optimal portfolio
- chance constrained
- multistage
- linear program
- capacity planning
- mathematical programming
- asset liability management
- risk averse
- decision making
- market data
- financial data
- power generation
- dynamic programming
- semidefinite programming
- expected utility
- lot sizing
- linear programming
- capacity expansion
- computational complexity