“Diversifying the Risk Associated with Exploration”Authors: Sjur D. Flåm and Sverre StorøyAffiliation: Christian Michelsen Institute and University of Bergen Reference: 1986, Vol 7, No 2, pp. 83-92. |
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Keywords: Stochastic models, entalpic pentalty, portfolio problems
Abstract: This paper is concerned with the allocation of exploratory efforts under the limitation of a fixed budget. A chance constrained problem is formulated. To solve this problem an algorithm is developed which is based on the entropic penalty approach recently presented by Ben-Tal.
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DOI: 10.4173/mic.1986.2.3
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References:
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BibTeX:
@article{MIC-1986-2-3,
title={{Diversifying the Risk Associated with Exploration}},
author={Fl{\aa}m, Sjur D. and Stor{\o}y, Sverre},
journal={Modeling, Identification and Control},
volume={7},
number={2},
pages={83--92},
year={1986},
doi={10.4173/mic.1986.2.3},
publisher={Norwegian Society of Automatic Control}
};
