Multi-period stochastic portfolio optimization: block-separable decomposition (Q2480253)
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scientific article; zbMATH DE number 5255844
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| English | Multi-period stochastic portfolio optimization: block-separable decomposition |
scientific article; zbMATH DE number 5255844 |
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Multi-period stochastic portfolio optimization: block-separable decomposition (English)
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31 March 2008
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portfolio optimization
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stochastic multistage programming
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nested decomposition
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block-separable recourse
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0.8061671257019043
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0.778636634349823
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0.7783164381980896
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0.7619232535362244
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