Tangency portfolios in the lp solvable portfolio selection models

DOI10.1051/RO/2012012zbMATH Open1248.90062OpenAlexW2075981520MaRDI QIDQ3166274FDOQ3166274

Mohamad Taghi Jahandideh, Reza Keykhaei

Publication date: 10 October 2012

Published in: RAIRO - Operations Research (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=RO_2012__46_2_149_0/

Recommendations

• scientific article; zbMATH DE number 2061975
• LP solvable models for portfolio optimization: a classification and computational comparison
• Producing the tangency portfolio as a corner portfolio
• On dual approaches to efficient optimization of LP computable risk measures for portfolio selection
• Twenty years of linear programming based portfolio optimization

zbMATH Keywords

linear programmingsubgradienttangency portfolioAneja-Nair methodLP solvable portfolio selection models

Mathematics Subject Classification ID

Linear programming (90C05) Multi-objective and goal programming (90C29)

Cites Work

• Two-phase Pareto local search for the biobjective traveling salesman problem
• A minimax portfolio selection rule with linear programming solution
• Bicriteria Transportation Problem
• Title not available (Why is that?)
• Title not available (Why is that?)
• Portfolio Optimization Under a Minimax Rule
• Portfolio selection problem with minimax type risk function
• A note on calculating the optimal risky portfolio

Cited In (2)

• Title not available (Why is that?)
• A note on optimal portfolio corresponding to the CVaR ratio

This page was built for publication: Tangency portfolios in the lp solvable portfolio selection models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3166274)