Applications of Global Optimization to Portfolio Analysis
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Recommendations
- Global optimization versus integer programming in portfolio optimization under nonconvex transaction costs
- Global Optimization of the Scenario Generation and Portfolio Selection Problems
- Global optimization of costly non-convex functions with financial applications
- Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints
- BOND PORTFOLIO OPTIMIZATION PROBLEMS AND THEIR APPLICATIONS TO INDEX TRACKING : A PARTIAL OPTIMIZATION APPROACH
Cited in
(14)- Global optimization of higher order moments in portfolio selection
- Long-short portfolio optimization under cardinality constraints by difference of convex functions algorithm
- Development and calibration of a currency trading strategy using global optimization
- Design of financial CDO squared transactions using constraint programming
- Global optimization versus integer programming in portfolio optimization under nonconvex transaction costs
- Global optimisation of a portfolio adjustment problem under credibility measures
- Global optimization of costly non-convex functions with financial applications
- Global Optimization of the Scenario Generation and Portfolio Selection Problems
- DC programming approach for portfolio optimization under step increasing transaction costs
- BOND PORTFOLIO OPTIMIZATION BY BILINEAR FRACTIONAL PROGRAMMING
- BOND PORTFOLIO OPTIMIZATION PROBLEMS AND THEIR APPLICATIONS TO INDEX TRACKING : A PARTIAL OPTIMIZATION APPROACH
- scientific article; zbMATH DE number 2068063 (Why is no real title available?)
- Principles and Practice of Constraint Programming – CP 2004
- Some finance problems solved with nonsmooth optimization techniques
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