A Reference Point Approach to Bi-Objective Dynamic Portfolio Optimization

DOI10.7494/dmms.2009.3.2.73zbMath1221.05161OpenAlexW941365356WikidataQ129534106 ScholiaQ129534106MaRDI QIDQ4931919

Bartosz Sawik

Publication date: 1 October 2010

Published in: Decision Making in Manufacturing and Services (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.7494/dmms.2009.3.2.73

zbMATH Keywords

mixed integer programmingvalue-at-riskreference point methoddynamic portfoliobi-objective optimization

Mathematics Subject Classification ID

Coloring of graphs and hypergraphs (05C15)

Related Items (2)

Mean-variance-CVaR model of multiportfolio optimization via linear weighted sum method ⋮ Downside Risk Approach for Multi-Objective Portfolio Optimization

Uses Software

• AMPL

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