MULTI-PERIOD STOCHASTIC PROGRAMMING MODELS USING SIMULATED PATHS FOR STRATEGIC ASSET ALLOCATION

DOI10.15807/jorsj.44.169zbMath1050.90019OpenAlexW14003584MaRDI QIDQ4483539

Norio Hibiki

Publication date: 2001

Published in: Journal of the Operations Research Society of Japan (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.15807/jorsj.44.169

zbMATH Keywords

Linear programminginvestment decisionsdynamic investment

Mathematics Subject Classification ID

Stochastic programming (90C15) Management decision making, including multiple objectives (90B50)

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