Solving multistage asset investment problems by the sample average approximation method

DOI10.1007/s10107-006-0723-7zbMath1130.90373OpenAlexW2093197620WikidataQ57710146 ScholiaQ57710146MaRDI QIDQ2502215

Jörgen Blomvall, Alexander Shapiro

Publication date: 12 September 2006

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10107-006-0723-7

zbMATH Keywords

stochastic programmingMonte Carlo samplingasset allocationstatistical boundsSAA method

Mathematics Subject Classification ID

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