Multistage Stochastic Programs with a Random Number of Stages: Dynamic Programming Equations, Solution Methods, and Application to Portfolio Selection
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Published:2018
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ISSN:1556-5068
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Container-title:SSRN Electronic Journal
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language:en
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Short-container-title:SSRN Journal
Reference46 articles.
1. Robust Modeling of Multi-Stage Portfolio Problems
2. The Abridged Nested Decomposition Method for Multistage Stochastic Linear Programs with Relatively Complete Recourse;J R Birge;Algorithmic of Operations Research,2001
3. A dynamic model for bond portfolio management;S P Bradley;Management Science,1972
4. A scenario-based stochastic programming approach for technology and capacity planning;L Chen;Computers & Operations Research,2002
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