N. C. P. Edirisinghe, E. I. Patterson. Multi-period stochastic portfolio optimization: Block-separable decomposition. Annals OR, 152(1):367-394, 2007. [doi]
@article{EdirisingheP07,
title = {Multi-period stochastic portfolio optimization: Block-separable decomposition},
author = {N. C. P. Edirisinghe and E. I. Patterson},
year = {2007},
doi = {10.1007/s10479-006-0129-1},
url = {http://dx.doi.org/10.1007/s10479-006-0129-1},
tags = {optimization, C++, e-science},
researchr = {https://researchr.org/publication/EdirisingheP07},
cites = {0},
citedby = {0},
journal = {Annals OR},
volume = {152},
number = {1},
pages = {367-394},
}