Optimal multi-period mean-variance policy under no-shorting constraint.

Xiangyu Cui Jianjun Gao Xun Li Duan Li

Published in: Eur. J. Oper. Res. (2014)

Keyphrases

multi period
planning horizon
expected cost
production planning
asymptotically optimal
finite horizon
routing problem
utility function
holding cost
dynamic programming
average cost
optimal policy
search space
lot sizing
data envelopment analysis
total cost
optimal control
multi item
lot size
cost function