Multi-stage stochastic linear programs for portfolio optimization

DOI10.1007/BF02282041zbMath0785.90008OpenAlexW2100549100WikidataQ89045234 ScholiaQ89045234MaRDI QIDQ1313141

Publication date: 26 January 1994

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02282041

zbMATH Keywords

importance sampling Benders decomposition multi-period portfolio optimization multi-stage stochastic linear programs

Mathematics Subject Classification ID

Stochastic programming (90C15) Portfolio theory (91G10)

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Uses Software

MINOS

Cites Work