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Comment on "An algorithm for moment-matching scenario generation with application to financial portfolio optimization".

Juan Pablo ContrerasPaul BoschMauricio Herrera
Published in: Eur. J. Oper. Res. (2018)
Keyphrases
  • dynamic programming
  • portfolio optimization
  • k means
  • search space
  • optimization algorithm
  • combinatorial optimization
  • decision making
  • objective function
  • optimal solution
  • metaheuristic
  • benchmark problems