A stochastic linear goal programming approach to multistage portfolio management based on scenario generation via linear programming

IIE Transactions (Institute of Industrial Engineers)

Volumn 37, Issue 10, 2005, Pages 957-969

  Ji, Xiaodong ^a   Zhu, Shushang ^b   Wang, Shouyang ^c   Zhang, Shuzhong ^d  

^a HEBEI NORMAL UNIVERSITY   (China)

^b FUDAN UNIVERSITY   (China)

^c INSTITUTE OF SYSTEMS SCIENCE   (China)

^d CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

[No Author keywords available]

Indexed keywords

INSURANCE; LINEAR PROGRAMMING; MATHEMATICAL MODELS; RISK MANAGEMENT; STOCHASTIC PROGRAMMING; TIME SERIES ANALYSIS;

MOMENT MATCHING; MULTISTAGE PORTFOLIO MANAGEMENT; SCENARIO GENERATION; TIME-SERIES MODEL;

INVESTMENTS;

EID: 24944555425     PISSN: 0740817X     EISSN: None     Source Type: Journal    
DOI: 10.1080/07408170591008082     Document Type: Article

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