Sell or Hold: A simple two-stage stochastic combinatorial optimization problem
نویسندگان
چکیده
منابع مشابه
Sell or Hold: A simple two-stage stochastic combinatorial optimization problem
There are n individual assets and k of them are to be sold over two stages. The first-stage prices are known and the second-stage prices have a known distribution. The sell or hold problem (SHP) is to determine which assets are to be sold at each stage to maximize the total expected revenue. We show that SHP is NP-hard when the second-stage prices are realized as a finite set of scenarios. We a...
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ژورنال
عنوان ژورنال: Operations Research Letters
سال: 2012
ISSN: 0167-6377
DOI: 10.1016/j.orl.2011.11.007