Multistage stochastic programs with a random number of stages: dynamic programming equations, solution methods, and application to portfolio selection

DOI10.1080/10556788.2020.1800007zbMath1464.90043arXiv1803.06034OpenAlexW3048948382MaRDI QIDQ5859015

Vincent Guigues

Publication date: 15 April 2021

Published in: Optimization Methods and Software (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1803.06034

zbMATH Keywords

stochastic programmingportfolio selectionSDDPrandom number of stages

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Stochastic programming (90C15)

Related Items (1)

Optimal portfolio choice of couples with tax-deferred accounts and survival-contingent products

Uses Software

• Mosek

Cites Work

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