Fractional optimization for a portfolio selection problem

MaRDI QIDQ3118588zbMATH OpenFDO

Authors Oana Ruxandra Tuns (Bode)

Publication date 2 March 2012

zbMATH Keywords

fractional pseudo booleanoptimization problemportfolio selection problem

Mathematics Subject Classification ID

Boolean programming (90C09) Multi-objective and goal programming (90C29) Fractional programming (90C32) Portfolio theory (91G10)

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(4)

• Optimal portfolio in a fractional Black \& Scholes market
• A model for portofolio selection based on investment efficiency
• Portfolio Optimization in Fractional and Rough Heston Models
• Optimal portfolio under fractional stochastic environment

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