Multi-stage stochastic linear programs for portfolio optimization (Q1313141)
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scientific article; zbMATH DE number 490512
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multi-stage stochastic linear programs for portfolio optimization |
scientific article; zbMATH DE number 490512 |
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Multi-stage stochastic linear programs for portfolio optimization (English)
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26 January 1994
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multi-period portfolio optimization
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multi-stage stochastic linear programs
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Benders decomposition
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importance sampling
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