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Portfolio selection under uncertainty: a new methodology for computing relative-robust solutions.
Sandra Caçador
Joana Matos Dias
Pedro Godinho
Published in:
Int. Trans. Oper. Res. (2021)
Keyphrases
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portfolio selection
robust optimization
optimal portfolio
multistage stochastic
portfolio management
portfolio optimization
neural network
financial markets
artificial intelligence
bayesian networks
decision makers
lot sizing
multiple objectives
expected utility
stochastic programming