Solving constrained consumption-investment problems by decomposition algorithms

DOI10.1016/J.EJOR.2024.06.027MaRDI QIDQ6982603zbMATH OpenFDO

Authors Bernardo K. Pagnoncelli, Tito Homem-De-Mello, Guido Lagos, Pablo Castañeda, Javier García

Publication date 16 May 2025

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.EJOR.2024.06.027

zbMATH Keywords

consumption-investment problemsdecomposition algorithmsfinancemultistage stochastic programming

Mathematics Subject Classification ID

Stochastic programming (90C15) Portfolio theory (91G10)

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