Robust Modeling of Multi-Stage Portfolio Problems

  • Aharon Ben-Tal
  • Tamar Margalit
  • Arkadi Nemirovski
Part of the Applied Optimization book series (APOP, volume 33)


In the paper, we develop, discuss and illustrate by simulated numerical results a new model of multi-stage asset allocation problem. The model is given by a new methodology for optimization under uncertainty — the Robust Counterpart approach.


Stochastic Program Robust Counterpart Rolling Horizon Portfolio Problem Multistage Stochastic Program 
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Copyright information

© Springer Science+Business Media Dordrecht 2000

Authors and Affiliations

  • Aharon Ben-Tal
  • Tamar Margalit
  • Arkadi Nemirovski

There are no affiliations available

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