Global Optimization of the Scenario Generation and Portfolio Selection Problems
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Publication:3600175
DOI10.1007/11751595_95zbMath1172.91324OpenAlexW1607048198MaRDI 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
Nonconvex programming, global optimization (90C26) Stochastic programming (90C15) Portfolio theory (91G10)
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