The value and cost of more stages in stochastic programing : a statistical analysis on a set of portfolio choice problems
John R. Birge, Jörgen Blomvall and Jonas Ekblom
| Year of publication: |
2022
|
|---|---|
| Authors: | Birge, John R. ; Blomvall, Jörgen ; Ekblom, Jonas |
| Subject: | Multi-stage stochastic programing | Portfolio choice | Sample average approximation | Scenario trees | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Stichprobenerhebung | Sampling |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Konferenzbeitrag ; Conference paper ; Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2021.1993620 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012872523