LP solvable models for portfolio optimization: a classification and computational comparison
From MaRDI portal
Recommendations
- scientific article; zbMATH DE number 2061975
- Twenty years of linear programming based portfolio optimization
- On dual approaches to efficient optimization of LP computable risk measures for portfolio selection
- Conditional value at risk and related linear programming models for portfolio optimization
- On extending the LP computable risk measures to account downside risk
Cited in
(40)- On the effectiveness of scenario generation techniques in single-period portfolio optimization
- Risk preference modeling with conditional average: An application to portfolio optimization
- Models and simulations for portfolio rebalancing
- Multiobjective portfolio optimization: bridging mathematical theory with asset management practice
- Mixed integer linear programming models for optimal crop selection
- Two nonparametric approaches to mean absolute deviation portfolio selection model
- A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
- A mixed R{\&}D projects and securities portfolio selection model
- Data envelopment analysis of mutual funds based on second-order stochastic dominance
- Conditional value at risk and related linear programming models for portfolio optimization
- Twenty years of linear programming based portfolio optimization
- On extending the LP computable risk measures to account downside risk
- Portfolio optimization with a copula-based extension of conditional value-at-risk
- Mean-risk analysis with enhanced behavioral content
- Portfolio construction on the Athens stock exchange: a multiobjective optimization approach
- On dual approaches to efficient optimization of LP computable risk measures for portfolio selection
- Scenario aggregation method for portfolio expectile optimization
- Tangency portfolios in the lp solvable portfolio selection models
- An exact algorithm for factor model in portfolio selection with roundlot constraints
- Kernel search: a new heuristic framework for portfolio selection
- Tractable almost stochastic dominance
- scientific article; zbMATH DE number 2061975 (Why is no real title available?)
- Sensitivity analysis in applications with deviation, risk, regret, and error measures
- Hybrid metaheuristics for constrained portfolio selection problems
- A VaR Black-Litterman model for the construction of absolute return fund-of-funds
- Two-stage portfolio optimization with higher-order conditional measures of risk
- Comparative issues between linear and non-linear risk measures for non-convex portfolio optimization: evidence from the S&P 500
- Higher moment coherent risk measures
- OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION
- Portfolio selection with a minimax measure in safety constraint
- Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function
- A robust mean absolute deviation model for portfolio optimization
- A multistage stochastic programming model with multiple objectives for the optimal issuance of corporate bonds
- Portfolio optimization with \(pw\)-robustness
- Efficient optimization of the reward-risk ratio with polyhedral risk measures
- Portfolio optimization with expectile value at risk and conditional value at risk: deviation measure and robust allocation
- Fifty years of portfolio optimization
- Enhanced index tracking with CVaR-based ratio measures
- Exact methods for large-scale multi-period financial planning problems
- Risk management strategies via minimax portfolio optimization
This page was built for publication: LP solvable models for portfolio optimization: a classification and computational comparison
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4464020)
