No-arbitrage conditions, scenario trees, and multi-asset financial optimization.
Alois GeyerMichael HankeAlex WeissensteinerPublished in: Eur. J. Oper. Res. (2010)
Keyphrases
- financial markets
- stock price
- optimization algorithm
- portfolio management
- decision making
- global optimization
- stock market
- decision trees
- data mining
- bi level
- optimization problems
- information systems
- data sets
- tree structure
- optimization process
- decision support system
- optimization model
- transaction costs
- tree models