Multistage Stochastic Programs with a Random Number of Stages: Dynamic Programming Equations, Solution Methods, and Application to Portfolio Selection

SSRN Electronic Journal ◽

10.2139/ssrn.3141581 ◽

2018 ◽

Cited By ~ 1

Author(s):

Vincent Guigues

Keyword(s):

Dynamic Programming ◽

Portfolio Selection ◽

Random Number ◽

Stochastic Programs ◽

Solution Methods ◽

Multistage Stochastic Programs ◽

Dynamic Programming Equations

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Multistage stochastic programs with a random number of stages: dynamic programming equations, solution methods, and application to portfolio selection

Optimization Methods and Software ◽

10.1080/10556788.2020.1800007 ◽

2020 ◽

pp. 1-26

Author(s):

Vincent Guigues

Keyword(s):

Dynamic Programming ◽

Portfolio Selection ◽

Random Number ◽

Stochastic Programs ◽

Solution Methods ◽

Multistage Stochastic Programs ◽

Dynamic Programming Equations

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A node formulation for multistage stochastic programs with endogenous uncertainty

Computational Management Science ◽

10.1007/s10287-021-00390-z ◽

2021 ◽

Author(s):

Giovanni Pantuso

Keyword(s):

Endogenous Uncertainty ◽

Stochastic Programs ◽

Multistage Stochastic Programs

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A dynamic programming approach to two-stage mean-variance portfolio selection in cointegrated vector autoregressive systems

2008 47th IEEE Conference on Decision and Control ◽

10.1109/cdc.2008.4738706 ◽

2008 ◽

Cited By ~ 10

Author(s):

Melanie B. Rudoy ◽

Charles E. Rohrs

Keyword(s):

Dynamic Programming ◽

Portfolio Selection ◽

Programming Approach ◽

Two Stage ◽

Vector Autoregressive ◽

Dynamic Programming Approach ◽

Mean Variance Portfolio ◽

Mean Variance

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A Scalable Bounding Method for Multistage Stochastic Programs

SIAM Journal on Optimization ◽

10.1137/16m1075594 ◽

2017 ◽

Vol 27 (3) ◽

pp. 1772-1800 ◽

Cited By ~ 9

Author(s):

Burhaneddi̇n Sandikçi ◽

Osman Y. Özaltin

Keyword(s):

Stochastic Programs ◽

Multistage Stochastic Programs

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Multistage Stochastic Programs via Stochastic Parametric Optimization

Operations Research Proceedings - Operations Research Proceedings 2007 ◽

10.1007/978-3-540-77903-2_10 ◽

2008 ◽

pp. 63-68

Author(s):

Vlasta Kaňková

Keyword(s):

Parametric Optimization ◽

Stochastic Programs ◽

Multistage Stochastic Programs

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Periodical Multistage Stochastic Programs

SIAM Journal on Optimization ◽

10.1137/19m129406x ◽

2020 ◽

Vol 30 (3) ◽

pp. 2083-2102

Author(s):

Alexander Shapiro ◽

Lingquan Ding

Keyword(s):

Stochastic Programs ◽

Multistage Stochastic Programs

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Viscosity solutions for the dynamic programming equations

Applied Mathematics & Optimization ◽

10.1007/bf01182476 ◽

1992 ◽

Vol 25 (2) ◽

pp. 109-126 ◽

Cited By ~ 16

Author(s):

Daniel Tataru

Keyword(s):

Dynamic Programming ◽

Viscosity Solutions ◽

Dynamic Programming Equations

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Stability of Multistage Stochastic Programs

Stability, Approximation, and Decomposition in Two- and Multistage Stochastic Programming ◽

10.1007/978-3-8348-9399-4_2 ◽

2009 ◽

pp. 9-31 ◽

Cited By ~ 1

Author(s):

Christian Küchler

Keyword(s):

Stochastic Programs ◽

Multistage Stochastic Programs

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Dynamic Programming Equations

Numerical Methods for Stochastic Control Problems in Continuous Time - Stochastic Modelling and Applied Probability ◽

10.1007/978-1-4613-0007-6_4 ◽

2001 ◽

pp. 53-66 ◽

Cited By ~ 2

Author(s):

Harold J. Kushner ◽

Paul Dupuis

Keyword(s):

Dynamic Programming ◽

Dynamic Programming Equations

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Recombining Trees for Multistage Stochastic Programs

Stability, Approximation, and Decomposition in Two- and Multistage Stochastic Programming ◽

10.1007/978-3-8348-9399-4_3 ◽

2009 ◽

pp. 33-96

Author(s):

Christian Küchler

Keyword(s):

Stochastic Programs ◽

Multistage Stochastic Programs

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