Multi-stage stochastic linear programs for portfolio optimization

George B. Dantzig; Gerd Infanger

doi:10.1007/bf02282041

Multi-stage stochastic linear programs for portfolio optimization

Annals of Operations Research ◽

10.1007/bf02282041 ◽

1993 ◽

Vol 45 (1) ◽

pp. 59-76 ◽

Cited By ~ 126

Author(s):

George B. Dantzig ◽

Gerd Infanger

Keyword(s):

Portfolio Optimization ◽

Linear Programs ◽

Multi Stage ◽

Stochastic Linear Programs

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Multi-Stage Stochastic Linear Programs for Portfolio Optimization

10.21236/ada242510 ◽

1991 ◽

Cited By ~ 2

Author(s):

George B. Dantzig ◽

Gerd Infanger

Keyword(s):

Portfolio Optimization ◽

Linear Programs ◽

Multi Stage ◽

Stochastic Linear Programs

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Multi-Stage Stochastic Linear Programs for Portfolio Optimization

10.21236/ada242308 ◽

1991 ◽

Cited By ~ 3

Author(s):

George B. Dantzig ◽

Gerd Infanger

Keyword(s):

Portfolio Optimization ◽

Linear Programs ◽

Multi Stage ◽

Stochastic Linear Programs

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A gaussian upper bound for gaussian multi-stage stochastic linear programs

Mathematical Programming ◽

10.1007/bf02614515 ◽

1997 ◽

Vol 77 (3) ◽

pp. 1-21 ◽

Cited By ~ 1

Author(s):

Eithan Schweitzer ◽

Mordecai Avriel

Keyword(s):

Upper Bound ◽

Linear Programs ◽

Multi Stage ◽

Stochastic Linear Programs

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Decomposition and (importance) sampling techniques for multi-stage stochastic linear programs

10.2172/10128562 ◽

1993 ◽

Cited By ~ 1

Author(s):

G. Infanger

Keyword(s):

Importance Sampling ◽

Sampling Techniques ◽

Linear Programs ◽

Multi Stage ◽

Importance Sampling Techniques ◽

Stochastic Linear Programs

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An L-Shaped Method Computer Code for Multi-Stage Stochastic Linear Programs

Springer Series in Computational Mathematics - Numerical Techniques for Stochastic Optimization ◽

10.1007/978-3-642-61370-8_12 ◽

1988 ◽

pp. 255-266 ◽

Cited By ~ 12

Author(s):

J. R. Birge

Keyword(s):

Computer Code ◽

Linear Programs ◽

Multi Stage ◽

Stochastic Linear Programs

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A new approach to multi-stage stochastic linear programs

Mathematical Programming Studies - Stochastic Systems: Modeling, Identification and Optimization, II ◽

10.1007/bfb0120742 ◽

1976 ◽

pp. 19-29 ◽

Cited By ~ 3

Author(s):

Richard C. Grinold

Keyword(s):

Linear Programs ◽

New Approach ◽

Multi Stage ◽

Stochastic Linear Programs

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On interior-point based retrospective approximation methods for solving two-stage stochastic linear programs

Proceedings of the 2011 Winter Simulation Conference (WSC) ◽

10.1109/wsc.2011.6148104 ◽

2011 ◽

Cited By ~ 1

Author(s):

Soumyadip Ghosh ◽

Raghu Pasupathy

Keyword(s):

Interior Point ◽

Approximation Methods ◽

Linear Programs ◽

Two Stage ◽

Stochastic Linear Programs

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Existence of Solutions for a Class of Bilevel Stochastic Linear Programs

European Journal of Operational Research ◽

10.1016/j.ejor.2021.12.004 ◽

2021 ◽

Author(s):

Matthias Claus

Keyword(s):

Existence Of Solutions ◽

Linear Programs ◽

Stochastic Linear Programs

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Adaptive Sequential Sample Average Approximation for Solving Two-Stage Stochastic Linear Programs

SIAM Journal on Optimization ◽

10.1137/19m1244469 ◽

2021 ◽

Vol 31 (1) ◽

pp. 1017-1048

Author(s):

Raghu Pasupathy ◽

Yongjia Song

Keyword(s):

Sample Average Approximation ◽

Linear Programs ◽

Two Stage ◽

Sequential Sample ◽

Sample Average ◽

Stochastic Linear Programs ◽

Average Approximation

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Variance Reduction and Objective Function Evaluation in Stochastic Linear Programs

INFORMS Journal on Computing ◽

10.1287/ijoc.10.2.236 ◽

1998 ◽

Vol 10 (2) ◽

pp. 236-247 ◽

Cited By ~ 17

Author(s):

Julia L. Higle

Keyword(s):

Objective Function ◽

Variance Reduction ◽

Function Evaluation ◽

Linear Programs ◽

Stochastic Linear Programs

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