Global Optimization of the Scenario Generation and Portfolio Selection Problems

DOI10.1007/11751595_95MaRDI QIDQ3600175zbMATH OpenOpenAlexFDO

Authors Panos Parpas, Berç Rustem

Publication date 10 February 2009

Published in Computational Science and Its Applications - ICCSA 2006 (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/11751595_95

Mathematics Subject Classification ID

Stochastic programming (90C15) Nonconvex programming, global optimization (90C26) Portfolio theory (91G10)

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Cited in

(14)

• Global optimization of higher order moments in portfolio selection
• Solving long-term financial planning problems via global optimization
• Comment on ``An algorithm for moment-matching scenario generation with application to financial portfolio optimisation
• QPLIB: a library of quadratic programming instances
• Global optimization of costly non-convex functions with financial applications
• Proximal point algorithms for multi-criteria optimization with the difference of convex objective functions
• Dynamically generated cutting planes for mixed-integer quadratically constrained quadratic programs and their incorporation into GloMIQO 2
• An algorithm for moment-matching scenario generation with application to financial portfolio optimisation
• Global optimization advances in mixed-integer nonlinear programming, MINLP, and constrained derivative-free optimization, CDFO
• An efficient DC programming approach for portfolio decision with higher moments
• Scenario Generation for Single-Period Portfolio Selection Problems with Tail Risk Measures: Coping with High Dimensions and Integer Variables
• Applications of Global Optimization to Portfolio Analysis
• Approximation algorithms for homogeneous polynomial optimization with quadratic constraints
• Linearly constrained global optimization and stochastic differential equations

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