Goal-based investing based on multi-stage robust portfolio optimization.
Jang Ho KimYongjae LeeWoo Chang KimFrank J. FabozziPublished in: Ann. Oper. Res. (2022)
Keyphrases
- multistage
- portfolio optimization
- robust optimization
- portfolio management
- lot sizing
- single stage
- stochastic programming
- investment decisions
- dynamic programming
- portfolio selection
- optimization methods
- factor analysis
- risk management
- problems involving
- multiple objectives
- bi objective
- decision making
- random variables
- reinforcement learning