A Stochastic Programming Framework for Multi-period Portfolio Optimization
This paper presents a scenario-based multistage stochastic programming model to deal with multi-period portfolio optimization problem with cardinality constraints and proportional transaction costs. The presented model aims to minimize investor's expected regret, while setting a minimum level o...
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| Format: | Article |
| Language: | fas |
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Allameh Tabataba'i University Press
2020-01-01
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| Series: | Muṭāli̒āt-i Mudīriyyat-i Ṣan̒atī |
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| Online Access: | http://jims.atu.ac.ir/article_10567_16f9106877812577c9107e6069f1205e.pdf |