A general framework for multistage mean-variance post-tax optimization
type: Item
instance of: scholarly article
title: A general framework for multistage mean-variance post-tax optimization
zbMATH Open document ID: 1147.91029
author: Maria A. Osorio
author: Nalân Gülpinar
author: Berç Rustem
published in: Annals of Operations Research
publication date: 2008-09-03T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 90C11
Mathematics Subject Classification ID: 90C15
zbMATH DE Number: 5320585
zbMATH Keywords: post-tax optimization
zbMATH Keywords: mean-variance portfolio management
zbMATH Keywords: multistage stochastic mixed-integer quadratic programming
zbMATH Keywords: scenario tree
describes a project that uses: BPMPD
MaRDI profile type: Publication
full work available at URL: s10479-007-0255-4
OpenAlex ID: W2167875870
cites work: Introduction to Stochastic Programming
cites work: Q4309474
cites work: Scenario generation and stochastic programming models for asset liability management
cites work: Generating Scenario Trees for Multistage Decision Problems
cites work: Simulation and optimization approaches to scenario tree generation
cites work: Comparison of Alternative Utility Functions in Portfolio Selection Problems
cites work: Q4782141
cites work: Post-tax optimization with stochastic programming
cites work: Q3893678
DOI: 10.1007/S10479-007-0255-4
description: scientific article; zbMATH DE number 5320585