Portfolio optimization via stochastic programming: Methods of output analysis

DOI10.1007/s001860050097zbMath0946.91019OpenAlexW2082383663MaRDI QIDQ1809498

Jitka Dupačová

Publication date: 25 November 1999

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

Full work available at URL: https://doi.org/10.1007/s001860050097

zbMATH Keywords

stabilitystochastic programmingportfolio optimizationworst-case analysispost-optimality

Mathematics Subject Classification ID

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

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