Worst-case Optimal Robust Decisions for Multi-period Mean-Variance Portfolio Optimization.
Nalan GülpinarBerç RustemPublished in: IMECS (2006)
Keyphrases
- portfolio optimization
- worst case
- multi period
- robust optimization
- portfolio selection
- investment decisions
- lot sizing
- factor analysis
- stock market
- problems involving
- production planning
- lower bound
- facility location problem
- np hard
- bi objective
- risk management
- upper bound
- approximation algorithms
- planning horizon
- decision making
- stock price
- multi item
- optimization methods
- dynamic programming
- greedy algorithm
- data envelopment analysis
- expected cost
- decision makers
- mathematical programming
- stock exchange
- evolutionary algorithm
- optimal control
- reinforcement learning