Multi-period stochastic portfolio optimization: block-separable decomposition

DOI10.1007/s10479-006-0129-1zbMath1132.91462OpenAlexW1999402781MaRDI QIDQ2480253

E. I. Patterson, N. Chanaka P. Edirisinghe

Publication date: 31 March 2008

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-006-0129-1

zbMATH Keywords

portfolio optimizationnested decompositionstochastic multistage programmingblock-separable recourse

Mathematics Subject Classification ID

Stochastic programming (90C15) Portfolio theory (91G10)

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Uses Software

• MSLiP

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