Multistage optimization of option portfolio using higher order coherent risk measures.
Yassine MatmouraSpiridon I. PenevPublished in: Eur. J. Oper. Res. (2013)
Keyphrases
- multistage
- risk measures
- higher order
- stochastic programming
- portfolio optimization
- robust optimization
- stochastic optimization
- risk averse
- portfolio selection
- lot sizing
- production system
- single stage
- dynamic programming
- portfolio management
- mathematical programming
- stock market
- factor analysis
- optimization algorithm
- risk management
- max min
- optimization methods
- optimization problems
- data mining