Back to Publications
2019Soft Computing

A hybrid combinatorial approach to a two-stage stochastic portfolio optimization model with uncertain asset prices

Cui, Tianxiang, Bai, Ruibin, Ding, Shusheng, Parkes, Andrew J., Qu, Rong, He, Fang, and Li, Jingpeng

Keywords

portfolio optimizationtwo-stage stochastic programmingtrading constraintsscenario generationMarkowitz mean-variance modelmetaheuristic algorithms

Authors from this organization

Ruibin Bai

Ruibin Bai

Director of Lab

Computer Science and Operations Research

View on Publisher Site