Portfolio Optimization by Means of Multiple Tandem Certainty-Uncertainty Searches

Author: Chow Brian G
Publisher: RAND Corporation

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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.

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