LP solvable models for portfolio optimization: a classification and computational comparison

DOI10.1093/imaman/14.3.187zbMath1115.91336MaRDI QIDQ4464020

Włodzimierz Ogryczak, Renata Mansini

Publication date: 27 May 2004

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/9e1f5cf1badbef6baf56fc02186794c9b2f843fe

zbMATH Keywords

linear programming; portfolio optimization; experimental analysis; mean-risk and mean-safety model

Mathematics Subject Classification ID

90C05: Linear programming

91G10: Portfolio theory

Related Items

Sensitivity Analysis in Applications with Deviation, Risk, Regret, and Error Measures, Hybrid metaheuristics for constrained portfolio selection problems, A VaR Black–Litterman model for the construction of absolute return fund-of-funds, Comparative issues between linear and non-linear risk measures for non-convex portfolio optimization: evidence from the S&P 500, Higher moment coherent risk measures, OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION, Portfolio selection with a minimax measure in safety constraint, Portfolio optimization with a copula-based extension of conditional value-at-risk, Mean-risk analysis with enhanced behavioral content, Scenario aggregation method for portfolio expectile optimization, Kernel search: a new heuristic framework for portfolio selection, Tractable almost stochastic dominance, Two-stage portfolio optimization with higher-order conditional measures of risk, Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function, A robust mean absolute deviation model for portfolio optimization, Exact methods for large-scale multi-period financial planning problems, Risk management strategies via minimax portfolio optimization, On the effectiveness of scenario generation techniques in single-period portfolio optimization, Risk preference modeling with conditional average: An application to portfolio optimization, Models and simulations for portfolio rebalancing, Multiobjective portfolio optimization: bridging mathematical theory with asset management practice, Mixed integer linear programming models for optimal crop selection, A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem, A mixed R{\&}D projects and securities portfolio selection model, Data envelopment analysis of mutual funds based on second-order stochastic dominance, Conditional value at risk and related linear programming models for portfolio optimization, Twenty years of linear programming based portfolio optimization, Portfolio construction on the Athens Stock Exchange: a multiobjective optimization approach, ON DUAL APPROACHES TO EFFICIENT OPTIMIZATION OF LP COMPUTABLE RISK MEASURES FOR PORTFOLIO SELECTION, An exact algorithm for factor model in portfolio selection with roundlot constraints