Multistage stochastic programs with a random number of stages: dynamic programming equations, solution methods, and application to portfolio selection (Q5859015)
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scientific article; zbMATH DE number 7333786
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| English | Multistage stochastic programs with a random number of stages: dynamic programming equations, solution methods, and application to portfolio selection |
scientific article; zbMATH DE number 7333786 |
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Multistage stochastic programs with a random number of stages: dynamic programming equations, solution methods, and application to portfolio selection (English)
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15 April 2021
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stochastic programming
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random number of stages
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SDDP
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portfolio selection
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0.8083605170249939
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0.8047639727592468
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0.8013842701911926
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0.7919554710388184
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