Portfolio Optimization with Irreversible Long-Term Investments in Renewable Energy under Policy Risk: A Mixed-Integer Multistage Stochastic Model and a Moving-Horizon Approach

Portfolio optimization is an ongoing hot topic of mathematical optimization and management science. Due to the current financial market environment with low interest rates and volatile stock markets, it is getting more and more important to extend portfolio optimization models by other types of investments than classical assets. In this paper, we present a mixed-integer … Read more