Reus, Lorenzo; Sepúlveda-Hurtado, Guillermo Alexander - In: Financial innovation : FIN 9 (2023) 1, pp. 1-38
positions, and incoming (outgoing) flows from business operations. To obtain such policies, we construct a multistage stochastic … programming (MSP) model and solve it using the stochastic dual dynamic programming (SDDP) numerical method, which specializes in …