Narrative-based robust stochastic optimization

R. Klerkx; A. Pelsser

doi:10.1016/j.jebo.2022.02.007

Narrative-based robust stochastic optimization

^*Corresponding author for this work

Research output: Contribution to journal › Article › Academic › peer-review

Original language	English
Pages (from-to)	266-277
Number of pages	12
Journal	Journal of Economic Behavior & Organization
Volume	196
DOIs	https://doi.org/10.1016/j.jebo.2022.02.007
Publication status	Published - 1 Apr 2022

Keywords

Optimization
Portfolio construction
Scenarios
Narratives
Fixed income
Uncertainty
OPTIMAL PORTFOLIO CHOICE
SELECTION

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10.1016/j.jebo.2022.02.007Licence: CC BY

Cite this

@article{78b6ddfd3ff14643985cacb8d83beb68,

title = "Narrative-based robust stochastic optimization",

keywords = "Optimization, Portfolio construction, Scenarios, Narratives, Fixed income, Uncertainty, OPTIMAL PORTFOLIO CHOICE, SELECTION",

author = "R. Klerkx and A. Pelsser",

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year = "2022",

month = apr,

day = "1",

doi = "10.1016/j.jebo.2022.02.007",

language = "English",

volume = "196",

pages = "266--277",

journal = "Journal of Economic Behavior & Organization",

issn = "0167-2681",

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AU - Klerkx, R.

AU - Pelsser, A.

N1 - data source:

PY - 2022/4/1

Y1 - 2022/4/1

KW - Optimization

KW - Portfolio construction

KW - Scenarios

KW - Narratives

KW - Fixed income

KW - Uncertainty

KW - OPTIMAL PORTFOLIO CHOICE

KW - SELECTION

U2 - 10.1016/j.jebo.2022.02.007

DO - 10.1016/j.jebo.2022.02.007

M3 - Article

VL - 196

SP - 266

EP - 277

JO - Journal of Economic Behavior & Organization

JF - Journal of Economic Behavior & Organization

SN - 0167-2681

ER -