Portfolio selection using multistage stochastic programming

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zbMath0952.91031MaRDI QIDQ1975982

Karl Frauendorfer, Heiko Siede

Publication date: 8 May 2000

Published in: CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)

zbMATH Keywords

portfolio selection mean-variance optimization stochastic multistage programming

Mathematics Subject Classification ID

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

Related Items (2)

A Distributed Interior-Point KKT Solver for Multistage Stochastic Optimization ⋮ Valuation of electricity swing options by multistage stochastic programming

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