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Robust Modeling of Multi-Stage Portfolio Problems
[chapter]
2000
Applied Optimization
Preserved Fulltext
In the paper, we develop, discuss and illustrate by simulated numerical results a new model of multi-stage asset allocation problem. The model is given by a new methodology for optimization under uncertainty -the Robust Counterpart approach.
doi:10.1007/978-1-4757-3216-0_12
fatcat:5jsu5j6ogjaftf7wbvqdbz7wpm