Optimization Methods in Finance
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Introductory exposition (textbooks, tutorial papers, etc.) pertaining to operations research and mathematical programming (90-01) Applications of mathematical programming (90C90) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80) Stochastic systems and control (93E99)
Recommendations
Cited in
(58)- Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints
- Multiobjective portfolio optimization: bridging mathematical theory with asset management practice
- Strong formulations for quadratic optimization with M-matrices and indicator variables
- A trajectory-based method for mixed integer nonlinear programming problems
- Robust combinatorial optimization under budgeted-ellipsoidal uncertainty
- An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution
- Hybrid adaptive large neighborhood search for the optimal statistic median problem
- Robust portfolio selection for index tracking
- Spin glasses and nonlinear constraints in portfolio optimization
- A moment matching approach to log-normal portfolio optimization
- Computing arbitrage upper bounds on basket options in the presence of bid-ask spreads
- Static hedging of weather and price risks in electricity markets
- An augmented Lagrangian filter method
- On sparsity of the solution to a random quadratic optimization problem
- An analysis of the hypervolume Sharpe-ratio indicator
- Factor-based robust index tracking
- PAL-Hom method for QP and an application to LP
- Positive definite matrix approximation with condition number constraint
- Non-linear equity portfolio variance reduction under a mean-variance framework -- a delta-gamma approach
- 60 years of portfolio optimization: practical challenges and current trends
- Twenty years of linear programming based portfolio optimization
- International portfolio choice and political instability risk: a multi-objective approach
- Data-driven portfolio management with quantile constraints
- Efficient differentiable quadratic programming layers: an ADMM approach
- A feasible active set method with reoptimization for convex quadratic mixed-integer programming
- Mean-variance portfolio optimization with parameter sensitivity control
- Editorial: Optimization in finance -- OPTFIN 2012 workshop
- An augmented Lagrangian method for non-Lipschitz nonconvex programming
- Numerical methods and optimization in finance
- Active set methods with reoptimization for convex quadratic integer programming
- Optimal financial decision making under uncertainty
- Mathematical Programming and its Applications in Finance
- scientific article; zbMATH DE number 4060926 (Why is no real title available?)
- CVXGEN: a code generator for embedded convex optimization
- Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments
- scientific article; zbMATH DE number 1489870 (Why is no real title available?)
- Optimization methods in finance.
- scientific article; zbMATH DE number 2148977 (Why is no real title available?)
- Conflict Analysis for MINLP
- A competitive inexact nonmonotone filter SQP method: convergence analysis and numerical results
- On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators?
- A multi-objective firefly algorithm for practical portfolio optimization problem
- scientific article; zbMATH DE number 7086992 (Why is no real title available?)
- A signal processing perspective on financial engineering
- Constant rebalanced portfolio optimization under nonlinear transaction costs
- Financial optimization
- Practical financial optimization. A library of GAMS models
- Practical financial optimization. Decision making for financial engineers. Foreword by Harry M. Markowitz
- Introduction to Modern Portfolio optimization with NUOPT and S-PLUS
- Complex portfolio selection via convex mixed‐integer quadratic programming: a survey
- Expected mean return—standard deviation efficient frontier approximation with low‐cardinality portfolios in the presence of the risk‐free asset
- Portfolio optimization with \(pw\)-robustness
- Efficient optimization of the reward-risk ratio with polyhedral risk measures
- Heuristic methods for the optimal statistic median problem
- An integrated framework for visualizing and forecasting realized covariance matrices
- A computational intelligence method for solving a class of portfolio optimization problems
- On a ``stability in the linear complementarity problem
- Comparison and robustification of Bayes and Black-Litterman models
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