A stochastic programming approach for multi-period portfolio optimization
| Year of publication: |
2009
|
|---|---|
| Authors: | Geyer, Alois ; Hanke, Michael ; Weissensteiner, Alex |
| Published in: |
Computational Management Science. - Springer. - Vol. 6.2009, 2, p. 187-208
|
| Publisher: |
Springer |
| Subject: | Life-cycle asset allocation | Stochastic linear programming | Scenario trees | VAR(1) process |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10004970854