Multistage portfolio optimization with stocks and options
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Publication:2811944
DOI10.1111/itor.12174zbMath1342.91038OpenAlexW1973450300MaRDI QIDQ2811944
Abbas Seifi, Majid Amin-Nayeri, Hamed Davari Ardakani
Publication date: 9 June 2016
Published in: International Transactions in Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/itor.12174
Related Items (4)
A multistage stochastic programming framework for cardinality constrained portfolio optimization ⋮ Constructing branching trees of geostatistical simulations ⋮ Portfolio optimization model with and without options under additional constraints ⋮ Practical arbitrage‐free scenario tree reduction methods and their applications in financial optimization
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