Global Optimization of the Scenario Generation and Portfolio Selection Problems
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Publication:3600175
DOI10.1007/11751595_95zbMath1172.91324MaRDI QIDQ3600175
Publication date: 10 February 2009
Published in: Computational Science and Its Applications - ICCSA 2006 (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/11751595_95
90C26: Nonconvex programming, global optimization
90C15: Stochastic programming
91G10: Portfolio theory
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