Large scale portfolio selection with synergies
DOI10.1134/S1064230713060087zbMATH Open1307.91165OpenAlexW1971945760MaRDI QIDQ2017642FDOQ2017642
Authors: N. Arratia, I. Litvinchev, Fernando Lopez 
Publication date: 23 March 2015
Published in: Journal of Computer and Systems Sciences International (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1134/s1064230713060087
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- Portfolio selection with higher moments
- Robust trade-off portfolio selection
Large-scale problems in mathematical programming (90C06) Multi-objective and goal programming (90C29) Portfolio theory (91G10) Mixed integer programming (90C11)
Cites Work
- Solving a comprehensive model for multiobjective project portfolio selection
- Fuzzy R\&D portfolio selection of interdependent projects
- Constructing and evaluating balanced portfolios of R\&D projects with interactions: a DEA based methodology
- A MILP bi-objective model for static portfolio selection of R\&D projects with synergies
- Optimal dynamic portfolio selection for projects under a competence development model
Cited In (6)
- A mixed R{\&}D projects and securities portfolio selection model
- Large portfolio allocation using high-frequency financial data
- Selection of balanced portfolios to track the main properties of a large market
- Synergy frontier of multi-factor stock selection model
- Large-Scale Loan Portfolio Selection
- A MILP bi-objective model for static portfolio selection of R\&D projects with synergies
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