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Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set.
Aifan Ling
Jie Sun
Meihua Wang
Published in:
Eur. J. Oper. Res. (2020)
Keyphrases
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portfolio selection
multi period
portfolio optimization
robust optimization
optimal portfolio
lot sizing
production planning
planning horizon
facility location problem
decision making
worst case
decision makers
input output
risk management
data envelopment analysis