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On the effectiveness of scenario generation techniques in single-period portfolio optimization.
Gianfranco Guastaroba
Renata Mansini
Maria Grazia Speranza
Published in:
Eur. J. Oper. Res. (2009)
Keyphrases
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portfolio optimization
single period
stock market
problems involving
stock price
robust optimization
machine learning
genetic algorithm
special case
decision makers
decision support system
game theory
inventory models