Multi-period stochastic portfolio optimization: Block-separable decomposition
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DOI: 10.1007/s10479-006-0129-1
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- Polak, George G. & Rogers, David F. & Sweeney, Dennis J., 2010. "Risk management strategies via minimax portfolio optimization," European Journal of Operational Research, Elsevier, vol. 207(1), pages 409-419, November.
- Way, Rupert & Lafond, François & Lillo, Fabrizio & Panchenko, Valentyn & Farmer, J. Doyne, 2019.
"Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves,"
Journal of Economic Dynamics and Control, Elsevier, vol. 101(C), pages 211-238.
- Rupert Way & Franc{c}ois Lafond & Fabrizio Lillo & Valentyn Panchenko & J. Doyne Farmer, 2017. "Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves," Papers 1705.03423, arXiv.org, revised Aug 2018.
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- N C P Edirisinghe & X Zhang, 2008. "Portfolio selection under DEA-based relative financial strength indicators: case of US industries," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 59(6), pages 842-856, June.
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Keywords
Portfolio optimization; Stochastic multistage programming; Nested decomposition; Block-separable recourse;All these keywords.
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