Testing the structure of multistage stochastic programs

DOI10.1007/s10287-008-0092-1zbMath1168.90567OpenAlexW1984188870MaRDI QIDQ2271798

Vittorio Moriggia, Marida Bertocchi, Jitka Dupačová

Publication date: 4 August 2009

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-008-0092-1

zbMATH Keywords

bond portfolio managementcontaminationadditional stagesout-of-sample scenariospolyhedral risk objectives

Mathematics Subject Classification ID

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

Related Items (4)

Unnamed Item ⋮ Comparing stage-scenario with nodal formulation for multistage stochastic problems ⋮ Partially Adaptive Stochastic Optimization for Electric Power Generation Expansion Planning ⋮ Structure of risk-averse multistage stochastic programs

Cites Work

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