A two-stage stochastic mixed-integer program modelling and hybrid solution approach to portfolio selection problems
In this paper, we investigate a multi-period portfolio selection problem with a comprehensive set of real-world trading constraints as well as market random uncertainty in terms of asset prices. We formulate the problem into a two-stage stochastic mixed-integer program (SMIP) with recourse. The set...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Published: |
Elsevier
2014
|
| Subjects: | |
| Online Access: | https://eprints.nottingham.ac.uk/28273/ |