On Two-Stage Portfolio Allocation Problems with Affine Recourse.
Giuseppe Carlo CalafioreMarco C. CampiPublished in: CDC/ECC (2005)
Keyphrases
- allocation problems
- resource allocation
- multistage
- affine transformation
- linear program
- piecewise affine
- portfolio selection
- stochastic programming
- affine invariant
- decision making
- market data
- portfolio optimization
- stage stochastic programs
- special case
- portfolio management
- complex systems
- allocation policies
- evolutionary algorithm
- search space