A hybrid combinatorial approach to a two-stage stochastic portfolio optimization model with uncertain asset prices.
Tianxiang CuiRuibin BaiShusheng DingAndrew J. ParkesRong QuFang HeJingpeng LiPublished in: Soft Comput. (2020)
Keyphrases
- optimization model
- market data
- decision making
- optimization process
- transaction costs
- asset allocation
- network flow
- construction project
- portfolio theory
- portfolio management
- portfolio optimization
- financial markets
- incomplete information
- monte carlo
- portfolio selection
- sensor placement
- uncertain information
- spare parts
- optimal portfolio