Maximum Downside Semi Deviation Stochastic Programming for Portfolio Optimization Problem
نویسندگان
چکیده
منابع مشابه
Maximum Downside Semi Deviation Stochastic Programming for Portfolio Optimization Problem
Abstract: The most important character within the optimization problem is the uncertainty of the future returns. To handle such problems, we utilize probabilistic methods alongside with optimization techniques. We develop single stage and two stage stochastic programming with recourse with the objective is to minimize the maximum downside semi deviation. We use the so-called “Here-and-Now” appr...
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ژورنال
عنوان ژورنال: Journal of Modern Applied Statistical Methods
سال: 2010
ISSN: 1538-9472
DOI: 10.22237/jmasm/1288585200