Abstract
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.
Partially funded by the Fund for the Promotion of Research at Technion, the G.I.F. contract No. I-0455-214.06/95 and the Israel Ministry of Science grant # 9636-1-96
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References
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© 2000 Springer Science+Business Media Dordrecht
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Ben-Tal, A., Margalit, T., Nemirovski, A. (2000). Robust Modeling of Multi-Stage Portfolio Problems. In: Frenk, H., Roos, K., Terlaky, T., Zhang, S. (eds) High Performance Optimization. Applied Optimization, vol 33. Springer, Boston, MA. https://doi.org/10.1007/978-1-4757-3216-0_12
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DOI: https://doi.org/10.1007/978-1-4757-3216-0_12
Publisher Name: Springer, Boston, MA
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