Optimization Methods in Finance
From MaRDI portal
Publication:3431225
DOI10.1017/CBO9780511753886zbMath1117.91031MaRDI QIDQ3431225
Reha H. Tütüncü, Cornuéjols, Gérard
Publication date: 5 April 2007
Stochastic systems and control (93E99) Applications of mathematical programming (90C90) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to operations research and mathematical programming (90-01) Portfolio theory (91G10) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)
Related Items (45)
Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints ⋮ Multiobjective portfolio optimization: bridging mathematical theory with asset management practice ⋮ An integrated framework for visualizing and forecasting realized covariance matrices ⋮ A competitive inexact nonmonotone filter SQP method: convergence analysis and numerical results ⋮ Strong formulations for quadratic optimization with M-matrices and indicator variables ⋮ Active Set Methods with Reoptimization for Convex Quadratic Integer Programming ⋮ Unnamed Item ⋮ Factor-based robust index tracking ⋮ On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators? ⋮ Computing arbitrage upper bounds on basket options in the presence of bid-ask spreads ⋮ CVXGEN: a code generator for embedded convex optimization ⋮ PAL-Hom method for QP and an application to LP ⋮ Complex portfolio selection via convex mixed‐integer quadratic programming: a survey ⋮ Expected mean return—standard deviation efficient frontier approximation with low‐cardinality portfolios in the presence of the risk‐free asset ⋮ A computational intelligence method for solving a class of portfolio optimization problems ⋮ An Augmented Lagrangian Method for Non-Lipschitz Nonconvex Programming ⋮ A trajectory-based method for mixed integer nonlinear programming problems ⋮ Efficient differentiable quadratic programming layers: an ADMM approach ⋮ Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments ⋮ An augmented Lagrangian filter method ⋮ Positive definite matrix approximation with condition number constraint ⋮ Non-linear equity portfolio variance reduction under a mean-variance framework -- a delta-gamma approach ⋮ A Firefly Algorithm for Portfolio Optimization ⋮ On sparsity of the solution to a random quadratic optimization problem ⋮ Robust combinatorial optimization under budgeted-ellipsoidal uncertainty ⋮ Portfolio optimization with \(pw\)-robustness ⋮ On a ``stability in the linear complementarity problem ⋮ An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution ⋮ Efficient optimization of the reward-risk ratio with polyhedral risk measures ⋮ Hybrid adaptive large neighborhood search for the optimal statistic median problem ⋮ Robust portfolio selection for index tracking ⋮ Constant rebalanced portfolio optimization under nonlinear transaction costs ⋮ Heuristic methods for the optimal statistic median problem ⋮ Comparison and robustification of Bayes and Black-Litterman models ⋮ Spin glasses and nonlinear constraints in portfolio optimization ⋮ A moment matching approach to log-normal portfolio optimization ⋮ An analysis of the hypervolume Sharpe-ratio indicator ⋮ 60 years of portfolio optimization: practical challenges and current trends ⋮ Twenty years of linear programming based portfolio optimization ⋮ International portfolio choice and political instability risk: a multi-objective approach ⋮ Data-driven portfolio management with quantile constraints ⋮ A Feasible Active Set Method with Reoptimization for Convex Quadratic Mixed-Integer Programming ⋮ Mean–variance portfolio optimization with parameter sensitivity control† ⋮ Static hedging of weather and price risks in electricity markets ⋮ Conflict Analysis for MINLP
Uses Software
This page was built for publication: Optimization Methods in Finance
