مرکز منطقه ای اطلاع رساني علوم و فناوري - Worst-case robust decisions for multi-period mean

Title of article :

Worst-case robust decisions for multi-period mean–variance portfolio optimization

Author/Authors :

Nalan Gulpinar، نويسنده , , Berc Rustem، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2007

Pages :

From page :

981

To page :

1000

Keywords :

Worst-case design , Uncertainty modelling , Scenario tree , stochastic programming , nonlinear programming , Risk management , finance

Journal title :

European Journal of Operational Research

Serial Year :

2007

Journal title :

European Journal of Operational Research

Record number :

217170

Link To Document :