Portfolio-optimization models for small investors
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Publication:2392807
DOI10.1007/s00186-012-0408-3zbMath1271.91094OpenAlexW2051576735MaRDI QIDQ2392807
Norbert Trautmann, Philipp Baumann
Publication date: 2 August 2013
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00186-012-0408-3
Related Items (7)
Portfolio problems with two levels decision-makers: optimal portfolio selection with pricing decisions on transaction costs ⋮ Financial analysis based sectoral portfolio optimization under second order stochastic dominance ⋮ A decentralized approach to multi-agent MILPs: finite-time feasibility and performance guarantees ⋮ Dealing with complex transaction costs in portfolio management ⋮ Dynamic trading under integer constraints ⋮ Twenty years of linear programming based portfolio optimization ⋮ A decomposition method for large scale MILPs, with performance guarantees and a power system application
Cites Work
- FPTAS for optimizing polynomials over the mixed-integer points of polytopes in fixed dimension
- \(N\)-fold integer programming
- Heuristic algorithms for the portfolio selection problem with minimum transaction lots
- A heuristic algorithm for a portfolio optimization model applied to the Milan stock market
- Integer programming approaches in mean-risk models
- Convex risk measures for portfolio optimization and concepts of flexibility
- A Minimax Portfolio Selection Rule with Linear Programming Solution
- An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints
- Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints
- Unnamed Item
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