Post-tax optimization with stochastic programming

European Journal of Operational Research

Volumn 157, Issue 1, 2004, Pages 152-168

  Osorio, Maria A ^a   Gülpinar, Nalan ^a   Rustem, Berç ^a   Settergren, Reuben ^a  

^a IMPERIAL COLLEGE LONDON   (United Kingdom)

Author keywords

Finance; Integer programming; Linear programming; Portfolio management; Post tax optimization; Scenarios; Stochastic programming

Indexed keywords

COMPUTER SIMULATION; FINANCE; INTEGER PROGRAMMING; LINEAR PROGRAMMING; OPTIMIZATION; STOCHASTIC PROGRAMMING; TAXATION;

PORTFOLIO MANAGEMENT; POST-TAX OPTIMIZATION;

OPERATIONS RESEARCH;

EID: 1842426403     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0377-2217(03)00240-6     Document Type: Conference Paper

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