Robust Modeling of Multi-Stage Portfolio Problems [chapter]

Aharon Ben-Tal, Tamar Margalit, Arkadi Nemirovski
2000 Applied Optimization  
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