BOND PORTFOLIO OPTIMIZATION BY BILINEAR FRACTIONAL PROGRAMMING
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Cited in
(80)- A constrained least square approach to the estimation of the term structure of interest rates
- Solving the sum-of-ratios problem by a stochastic search algorithm
- Solving sum of quadratic ratios fractional programs via monotonic function
- Generic algorithm for generalized fractional programming
- Global optimization for a class of fractional programming problems
- Branch-and-reduce algorithm for convex programs with additional multiplicative constraints
- Parametric simplex algorithms for solving a special class of nonconvex minimization problems
- The complementary convex structure in global optimization
- Polyhedral annexation, dualization and dimension reduction technique in global optimization
- A parametric successive underestimation method for convex multiplicative programming problems
- Solving a mixed-integer multiobjective bond portfolio model involving logical conditions
- Image space analysis of generalized fractional programs
- Linear programs with an additional rank two reverse convex constraint
- Convex programs with an additional constraint on the product of several convex functions
- Multiplicative programming problems: Analysis and efficient point search heuristic
- Outcome-space cutting-plane algorithm for linear multiplicative programming
- Global optimization for a class of nonlinear sum of ratios problem
- A new two-level linear relaxed bound method for geometric programming problems
- Efficient algorithms for solving certain nonconvex programs dealing with the product of two affine fractional functions
- On the use of optimization models for portfolio selection: A review and some computational results
- Dual approach to minimization on the set of Pareto-optimal solutions
- A practical but rigorous approach to sum-of-ratios optimization in geometric applications
- Using conical partition to globally maximizing the nonlinear sum of ratios
- Incremental quasi-subgradient methods for minimizing the sum of quasi-convex functions
- Outer space branch and bound algorithm for solving linear multiplicative programming problems
- Necessary optimality conditions for semi-vectorial bi-level optimization with convex lower level: theoretical results and applications to the quadratic case
- An outcome-space-based branch-and-bound algorithm for a class of sum-of-fractions problems
- Solving a fractional programming problem in a commercial bank
- Pareto optimality conditions and duality for vector quadratic fractional optimization problems
- Optimization over the Pareto outcome set associated with a convex bi-objective optimization problem: theoretical results, deterministic algorithm and application to the stochastic case
- A global optimization algorithm for linear fractional programming
- Necessary and sufficient conditions for achieving global optimal solutions in multiobjective quadratic fractional optimization problems
- Solving sum of ratios fractional programs via concave minimization
- Global optimization method for maximizing the sum of difference of convex functions ratios over nonconvex region
- Effective algorithm and computational complexity for solving sum of linear ratios problem
- scientific article; zbMATH DE number 1724451 (Why is no real title available?)
- A bond portfolio optimization model based on CVaR and the numerical methods
- Global solutions to fractional programming problem with ratio of nonconvex functions
- Outcome space range reduction method for global optimization of sum of affine ratios problem
- Maximizing for the sum of ratios of two convex functions over a convex set
- A revised algorithm for solving the sum of linear ratios problem with lower dimension using linear relaxation
- Recursive portfolio management: Large-scale evidence from two Scandinavian stock markets
- scientific article; zbMATH DE number 1342815 (Why is no real title available?)
- An outcome space algorithm for optimization over the weakly efficient set of a multiple objective nonlinear programming problem
- BOND PORTFOLIO OPTIMIZATION PROBLEMS AND THEIR APPLICATIONS TO INDEX TRACKING : A PARTIAL OPTIMIZATION APPROACH
- Solving Optimization Problems over the Weakly Efficient Set
- First-order algorithms for a class of fractional optimization problems
- Principles and Practice of Constraint Programming – CP 2004
- Global optimization of nonlinear sums of ratios
- Global optimization algorithm for the nonlinear sum of ratios problem
- An Output-Space Based Branch-and-Bound Algorithm for Sum-of-Linear-Ratios Problem
- A spatial branch and bound algorithm for solving the sum of linear ratios optimization problem
- A new deterministic global computing algorithm for solving a kind of linear fractional programming
- A criterion-space branch-reduction-bound algorithm for solving generalized multiplicative problems
- A criterion space algorithm for solving linear multiplicative programming problems
- Robust bond portfolio construction via convex-concave saddle point optimization
- A new branch-and-cut algorithm for linear sum-of-ratios problem based on SLO method and LO relaxation
- Spatial algorithm for mixed integer generalized affine multiplicative problems
- Global optimization algorithm of a linear fractional multiplicative function over a Pareto-optimal set
- A hybrid relaxation method for solving generalized linear fractional programs
- Canonical d. c. programming techniques for solving a convex program with an additional constraint of multiplicative type
- An outer approximation method for minimizing the product of several convex functions on a convex set
- Reduced outer space algorithm for globally computing affine sum-of-ratios problems
- Convexification techniques for fractional programs
- An implementable proximal extragradient method for structured fractional programming
- An efficient outcome-space branch-and-bound algorithm for solving a class of large-scale linear multiplicative programs
- An efficient global optimization algorithm for the sum of linear ratios problems based on a novel adjustable branching rule
- A novel affine relaxation-based algorithm for minimax affine fractional program
- An adaptive branch-and-bound reduction algorithm for minimizing sum of linear ratios programs
- Global optimization of nonlinear sum of ratios problem
- On the global optimization of sums of linear fractional functions over a convex set
- Branch-and-bound outer approximation algorithm for sum-of-ratios fractional programs
- Global branch-reduction-bound algorithm to tackle the sum of the general affine ratios programming
- A new global optimization method based on separable relaxation for solving sum of linear ratios problem
- On the global convergence of the proximal gradient method for Tikhonov regularized correction of absolute value equations
- Optimizing over the properly efficient set of convex multi-objective optimization problems
- A deterministic global optimization algorithm
- A simplicial branch and bound duality-bounds algorithm for the linear sum-of-ratios problem
- Global optimization for sum of geometric fractional functions
- Simplicial branch-and-reduce algorithm for convex programs with a multiplicative constraint
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