DOI10.1016/j.ejor.2014.07.049zbMath1338.91137MaRDI QIDQ300037
F. Blanchet-Sadri, M. Dambrine
Publication date: 23 June 2016 Published in: European Journal of Operational Research (Search for Journal in Brave) Full work available at URL: http://bura.brunel.ac.uk/handle/2438/10045
zbMATH Keywords
stochastic programming; finance; scenarios; OR in banking
Mathematics Subject Classification ID
90C15: Stochastic programming
91G10: Portfolio theory
Uses Software