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Time-consistent and self-coordination strategies for multi-period mean-Conditional Value-at-Risk portfolio selection.
Xiangyu Cui
Jianjun Gao
Yun Shi
Shushang Zhu
Published in:
Eur. J. Oper. Res. (2019)
Keyphrases
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portfolio selection
multi period
production planning
planning horizon
facility location problem
routing problem
lot sizing
robust optimization
multi agent systems
financial markets
multi item
data envelopment analysis
optimal portfolio
evolutionary algorithm
search strategies
total cost