Multi-period stochastic portfolio optimization: Block-separable decomposition.
N. C. P. EdirisingheE. I. PattersonPublished in: Ann. Oper. Res. (2007)
Keyphrases
- multi period
- portfolio optimization
- production planning
- portfolio selection
- facility location problem
- problems involving
- data envelopment analysis
- planning horizon
- routing problem
- bi objective
- robust optimization
- factor analysis
- lot sizing
- stock price
- stock market
- multi item
- risk management
- optimization methods
- stock exchange
- total cost
- upper bound
- facility location
- knapsack problem
- multistage