LP solvable models for portfolio optimization: a classification and computational comparison
From MaRDI portal
Publication:4464020
DOI10.1093/imaman/14.3.187zbMath1115.91336MaRDI QIDQ4464020
Włodzimierz Ogryczak, Renata Mansini
Publication date: 27 May 2004
Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/9e1f5cf1badbef6baf56fc02186794c9b2f843fe
Related Items
Hybrid metaheuristics for constrained portfolio selection problems, A VaR Black–Litterman model for the construction of absolute return fund-of-funds, Higher moment coherent risk measures, OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION, Portfolio selection with a minimax measure in safety constraint, Kernel search: a new heuristic framework for portfolio selection, Tractable almost stochastic dominance, Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function, A robust mean absolute deviation model for portfolio optimization, Exact methods for large-scale multi-period financial planning problems, Risk management strategies via minimax portfolio optimization, On the effectiveness of scenario generation techniques in single-period portfolio optimization, Risk preference modeling with conditional average: An application to portfolio optimization, Models and simulations for portfolio rebalancing, A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem, A mixed R{\&}D projects and securities portfolio selection model, Data envelopment analysis of mutual funds based on second-order stochastic dominance, Conditional value at risk and related linear programming models for portfolio optimization, Portfolio construction on the Athens Stock Exchange: a multiobjective optimization approach, ON DUAL APPROACHES TO EFFICIENT OPTIMIZATION OF LP COMPUTABLE RISK MEASURES FOR PORTFOLIO SELECTION, An exact algorithm for factor model in portfolio selection with roundlot constraints
