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ArticleMulti-stage stochastic linear programs for portfolio optimization

George B. Dantzig1993

Article1993

Multi-stage stochastic linear programs for portfolio optimization

George B. Dantzig · Gerd Infanger

223 citations·0/0 files stored·Annals of Operations Research

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Risk and Portfolio Optimization Stochastic processes and financial applications Advanced Optimization Algorithms Research

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References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1959Portfolio Selection: Efficient Diversification of Investments 1962Portfolio Selection: Efficient Diversification of Investments.1991Scenarios and Policy Aggregation in Optimization Under Uncertainty 1955Linear Programming under Uncertainty 2004Linear Programming Under Uncertainty 1989Importance Sampling for Stochastic Simulations 1988Numerical Techniques for Stochastic Optimization

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1996THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS 1998Dynamic stochastic programmingfor asset-liability management 2006Robust multiperiod portfolio management in the presence of transaction costs 2005Portfolio rebalancing model with transaction costs based on fuzzy decision theory 2008Multi-period portfolio optimization with linear control policies 2000Robust Modeling of Multi-Stage Portfolio Problems

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Year1993

Typearticle

Published1993-12-01

VenueAnnals of Operations Research

ISSN-L0254-5330

Languageen

Citations223

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/bf02282041

openalex_workW2100549100

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1997A disaggregation algorithm for the optimization of stochastic planning models

2003Financial planning via multi-stage stochastic optimization