Concepedia

Multi-stage stochastic linear programs for portfolio optimization

George B. Dantzig, Gerd Infanger

Annals of Operations Research · 1993 · 224 citations · 32 references

Concepts

BusinessFinanceFinancial ManagementOptimizationPortfolio ManagementStochastic ProcessesLinear ProgrammingPortfolio OptimizationPortfolio SelectionPortfolio TheoryStochastic OptimizationStochastic ProgrammingMulti-stage Stochastic ProgrammingMultistage Stochastic OptimizationMultistage Stochastic ProgrammingStochastic Linear ProgrammingTwo-stage Stochastic Programming

References

32

CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*

William F. Sharpe · The Journal of Finance · 1964 · 17.4K citations

Business, Economics, Finance +17

Portfolio Selection: Efficient Diversification of Investments

Alan Stuart, Harry M. Markowitz · OR · 1959 · 5.6K citations

Business, Finance, Financial Management +14

Partitioning procedures for solving mixed-variables programming problems

J. F. Benders · Numerische Mathematik · 1962 · 3.8K citations

Natural Sciences, Computer Science, Optimization +7

Portfolio Selection: Efficient Diversification of Investments.

H. S. Houthakker, Harry M. Markowitz · Journal of the American Statistical Association · 1962 · 3.7K citations

Business, Economics, Finance +17

Methods of Numerical Integration.

F. S., Philip J. Davis, Philip Rabinowitz · Mathematics of Computation · 1986 · 2.8K citations

Computing, Computational Engineering, Mathematics +12