Application of Two-Stage Stochastic Linear Programming for Portfolio Selection Problem
碩士 === 中原大學 === 工業工程研究所 === 93 === In this thesis, a portfolio selection problem with closing the portfolio dynamically is considered. The investment strategy is to take the long position on the stocks and the short position in the index futures which starts from the first date when the futures is i...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/8g3zd5 |