A new methodology for multi-period portfolio selection based on the risk measure of lower partial moments.
Hamid Hosseini NesazMilad JasemiLeslie MonplaisirPublished in: Expert Syst. Appl. (2020)
Keyphrases
- portfolio selection
- multi period
- production planning
- facility location problem
- data envelopment analysis
- planning horizon
- routing problem
- lot sizing
- robust optimization
- financial markets
- multi item
- genetic algorithm
- total cost
- special case
- probability distribution
- approximation algorithms
- probabilistic model
- facility location
- traveling salesman problem
- supply chain