Portfolio optimization via stochastic programming: Methods of output analysis

DOI10.1007/S001860050097MaRDI QIDQ1809498zbMATH OpenOpenAlexFDO

Authors Jitka Dupačová

Publication date 25 November 1999

Published in Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s001860050097

zbMATH Keywords

stabilityportfolio optimizationstochastic programmingworst-case analysispost-optimality

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic programming (90C15)

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Cited in

(11)

• Fast quadratic programming for mean-variance portfolio optimisation
• Stochastic programming technique for portfolio optimization with minimax risk and bounded parameters
• Output analysis for approximated stochastic programs
• Quantile criterion-based control of the securities portfolio with a nonzero ruin probability
• Efficient solution selection for two-stage stochastic programs
• Use of stochastic and mathematical programming in portfolio theory and practice
• Two-stage bond portfolio optimization and its application to Saudi Sukuk Market
• Applications of stochastic programming: Achievements and questions
• Horizon and stages in applications of stochastic programming in finance
• Robust multiobjective optimization \& applications in portfolio optimization
• Asset-liability management for Czech pension funds using stochastic programming

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