Solving constrained consumption-investment problems by decomposition algorithms
Bernardo K. Pagnoncelli, Tito Homem-de-Mello, Guido Lagos, Pablo Castañeda, Javier García
| Year of publication: |
2024
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|---|---|
| Authors: | Pagnoncelli, Bernardo K. ; Homem-de-Mello, Tito ; Lagos, Guido ; Castañeda, Pablo ; García, Javier |
| Published in: |
European journal of operational research : EJOR. - Amsterdam [u.a.] : Elsevier, ISSN 0377-2217, ZDB-ID 1501061-2. - Vol. 319.2024, 1 (1.11.), p. 292-302
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| Subject: | Consumption-investment problems | Decomposition algorithms | Finance | Multistage stochastic programming | Dekompositionsverfahren | Decomposition method | Stochastischer Prozess | Stochastic process | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Algorithmus | Algorithm |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2024.06.027 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015083722