Dynamic Index Tracking via Stochastic Programming.

Patrizia Beraldi Antonio Violi Maria Elena Bruni Gianluca Carrozzino

Published in: ICORES (2019)

Keyphrases

stochastic programming
chance constrained
multistage
linear program
asset liability management
capacity planning
robust optimization
decision making under uncertainty
dynamically updated
high dimensional
particle filter
machine learning
learning algorithm
lower bound
control system
special case