Open AccessOptimal portfolios under a value-at-risk constraint with applications to inventory control in supply chains
Author(s) -
Ka Fai Cedric Yiu,
S. Y. Wang,
K. L. Mak
Publication year - 2008
Publication title -
journal of industrial and management optimization
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.325
H-Index - 32
eISSN - 1553-166X
pISSN - 1547-5816
DOI - 10.3934/jimo.2008.4.81
Subject(s) - lagrange multiplier , mathematical optimization , portfolio , constraint (computer aided design) , inventory control , dynamic programming , portfolio optimization , computer science , stochastic programming , stochastic control , probabilistic logic , value at risk , holding cost , inventory theory , optimal control , economics , risk management , operations research , mathematics , geometry , management , artificial intelligence , financial economics
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