On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability.
Taras BodnarNestor ParolyaWolfgang SchmidPublished in: Eur. J. Oper. Res. (2015)
Keyphrases
- exact solution
- multi period
- production planning
- planning horizon
- facility location problem
- column generation
- lower bound
- data envelopment analysis
- routing problem
- lot sizing
- total cost
- multi item
- decision making
- utility function
- optimal solution
- lot size
- search algorithm
- expected utility
- linear programming
- probability distribution