Portfolio Optimization by Means of Multiple Tandem Certainty-Uncertainty Searches

This paper describes a new approach to optimization under uncertainty that is aimed at finding the optimal solution to a problem by designing a number of search algorithms or schemes in a way that allows analysts to apply to a problem that contains a significantly larger number of decision variables...

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Detalles Bibliográficos
Autor Principal: Chow, Brian G.
Formato: Online
Idioma:inglés
Publicado: RAND Corporation 2023
Subjects:
Acceso en liña:ONIX_20231005_9780833082954_948
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Summary:This paper describes a new approach to optimization under uncertainty that is aimed at finding the optimal solution to a problem by designing a number of search algorithms or schemes in a way that allows analysts to apply to a problem that contains a significantly larger number of decision variables, uncertain parameters, and uncertain scenarios than they have had to contend with until now.