An iterative method for solving a bi-objective constrained portfolio optimization problem
DOI10.1007/s10589-018-0052-9zbMath1414.90309OpenAlexW2904628223WikidataQ128749959 ScholiaQ128749959MaRDI QIDQ2419517
Madani Bezoui, Ahcène Bounceur, Mustapha Moulaï, Reinhardt Euler
Publication date: 13 June 2019
Published in: Computational Optimization and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10589-018-0052-9
mixed integer programmingsteepest descent methodbi-objective programmingPascoletti-Serafini methodcardinality and quantity constraintscardinality portfolio selection
Applications of mathematical programming (90C90) Mixed integer programming (90C11) Multi-objective and goal programming (90C29) Management decision making, including multiple objectives (90B50) Financial applications of other theories (91G80) Portfolio theory (91G10)
Uses Software
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