Multi-period asset allocation with lower partial moments criteria and affine policies.
Giuseppe Carlo CalafioreFatemeh KharamanPublished in: CIFEr (2014)
Keyphrases
- multi period
- asset allocation
- production planning
- portfolio management
- data envelopment analysis
- facility location problem
- planning horizon
- routing problem
- lot sizing
- multi criteria
- total cost
- multi item
- stock market
- optimal policy
- probability distribution
- expected cost
- approximation algorithms
- knapsack problem
- portfolio selection
- production system
- simulated annealing