Multi-stage stochastic linear programs for portfolio optimization
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Publication:1313141
DOI10.1007/BF02282041zbMath0785.90008WikidataQ89045234 ScholiaQ89045234MaRDI QIDQ1313141
George B. Dantzig, Gerd Infanger
Publication date: 26 January 1994
Published in: Annals of Operations Research (Search for Journal in Brave)
importance sampling; Benders decomposition; multi-period portfolio optimization; multi-stage stochastic linear programs
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Random test problems and parallel methods for quadratic programs and quadratic stochastic programs∗, Strategic financial risk management and operations research, Intelligent control and optimization under uncertainty with application to hydro power, Discretized reality and spurious profits in stochastic programming models for asset/liability management, Barycentric scenario trees in convex multistage stochastic programming, Parameter estimation in stochastic scenario generation systems, Applications of stochastic programming under incomplete information, Postoptimality for multistage stochastic linear programs, Monte Carlo integration, quadratic resampling, and asset pricing
Uses Software
Cites Work
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