On multiobjective combinatorial optimization and dynamic interim hedging of efficient portfolios

DOI10.1111/ITOR.12067zbMATH Open1309.90063OpenAlexW1885724631MaRDI QIDQ5246809FDOQ5246809

Authors: Gordon H. Jun. Dash, Nina Kajiji 

Publication date: 22 April 2015

Published in: International Transactions in Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/itor.12067

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zbMATH Keywords

separable programmingminimum variance hedge ratiodynamic portfolio hedgingmixed-integer nonlinear goal programming

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Portfolio theory (91G10) Mixed integer programming (90C11)

Cites Work

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• A nonlinear mixed integer goal programming model for the two-machine closed flow shop
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Cited In (5)

• A biobjective decision model to increase security and reduce travel costs in the cash-in-transit sector
• Goal programming with extended factors for portfolio selection
• Good deal indices in asset pricing: actuarial and financial implications
• Multistage portfolio optimization with stocks and options
• Practical arbitrage‐free scenario tree reduction methods and their applications in financial optimization

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