An exact solution approach for portfolio optimization problems under stochastic and integer constraints (Q3100374)
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scientific article; zbMATH DE number 5978554
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| English | An exact solution approach for portfolio optimization problems under stochastic and integer constraints |
scientific article; zbMATH DE number 5978554 |
Statements
An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints (English)
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24 November 2011
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programming: stochastic
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integer: nonlinear, branch-and-bound
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finance: portfolio
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probability: distributions
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\texttt{MINLP}
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\texttt{CPLEX}
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0.8179720640182495
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0.788666307926178
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0.7696309685707092
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0.7612022757530212
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