3 search results - page 1 / 1 » Robust portfolio selection based on a multi-stage scenario t... |
EOR
2008
13 years 4 months ago
2008
The aim of this paper is to apply the concept of robust optimization introduced by Bel-Tal and Nemirovski to the portfolio selection problems based on multi-stage scenario trees. ...
ANOR
2007
13 years 4 months ago
2007
The quality of multi-stage stochastic optimization models as they appear in asset liability management, energy planning, transportation, supply chain management, and other applicat...
CORR
2002
Springer
13 years 4 months ago
2002
Springer
In previous work, we have introduced functional strategies, that is, first-class generic functions that can traverse into terms of any type while mixing uniform and type-specific ...