3 search results - page 1 / 1 » Robust portfolio selection based on a multi-stage scenario t... |
EOR
2008
13 years 10 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 10 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 10 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 ...