Dynamic portfolio optimization: time decomposition using the maximum principle with a scenario approach (Q704083): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Q4251882 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Introduction to Stochastic Programming / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5680669 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dynamic stochastic programming for asset-liability management / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multi-stage stochastic linear programs for portfolio optimization / rank
 
Normal rank
Property / cites work
 
Property / cites work: Efficient dynamic programming implementations of Newton's method for unconstrained optimal control problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5687689 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3818134 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Approximate scenario solutions in the progressive hedging algorithm. A numerical study with an application to fisheries management / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4335866 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4251869 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mean Value Methods in Iteration / rank
 
Normal rank
Property / cites work
 
Property / cites work: Applying the progressive hedging algorithm to stochastic generalized networks / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic Network Programming for Financial Planning Problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5727849 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Feasible direction algorithm for optimal control problems with state and control constraints: Implementation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Generalized Linear-Quadratic Problems of Deterministic and Stochastic Optimal Control in Discrete Time / rank
 
Normal rank
Property / cites work
 
Property / cites work: Scenarios and Policy Aggregation in Optimization Under Uncertainty / rank
 
Normal rank
Property / cites work
 
Property / cites work: Primal-Dual Projected Gradient Algorithms for Extended Linear-Quadratic Programming / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4328545 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Computational assessment of distributed decomposition methods for stochastic linear programs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Structural properties of the progressive hedging algorithm / rank
 
Normal rank
Property / cites work
 
Property / cites work: Applications of Stochastic Programming / rank
 
Normal rank
Property / cites work
 
Property / cites work: Interior point methods for optimal control of discrete time systems / rank
 
Normal rank

Latest revision as of 17:18, 7 June 2024

scientific article
Language Label Description Also known as
English
Dynamic portfolio optimization: time decomposition using the maximum principle with a scenario approach
scientific article

    Statements

    Dynamic portfolio optimization: time decomposition using the maximum principle with a scenario approach (English)
    0 references
    0 references
    0 references
    12 January 2005
    0 references
    stochastic programming
    0 references
    scenarios
    0 references
    dynamic portfolio
    0 references
    progressive hedging algorithm
    0 references
    maximum principle
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers