An interactive approach to stochastic programming-based portfolio optimization.
Murat KöksalanCeren Tuncer SakarPublished in: Ann. Oper. Res. (2016)
Keyphrases
- stochastic programming
- portfolio optimization
- robust optimization
- portfolio selection
- multistage
- portfolio management
- mathematical programming
- risk averse
- problems involving
- linear program
- bi objective
- lot sizing
- factor analysis
- semidefinite programming
- artificial intelligence
- decision theory
- stock market
- theoretical framework
- decision making