Login / Signup

Multistage stochastic programs with a random number of stages: dynamic programming equations, solution methods, and application to portfolio selection.

Vincent Guigues
Published in: Optim. Methods Softw. (2021)
Keyphrases
  • multistage stochastic
  • portfolio selection
  • multistage
  • dynamic programming
  • linear program
  • integer program
  • cutting plane
  • linear programming
  • capacity expansion
  • long term
  • stock market
  • multi objective optimization