On multiobjective combinatorial optimization and dynamic interim hedging of efficient portfolios

DOI10.1111/ITOR.12067MaRDI QIDQ5246809zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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• Piecewise-Linear Approximation Methods for Nonseparable Convex Optimization
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• The dual approach to portfolio evaluation: a comparison of the static, myopic and generalized buy-and-hold strategies

Cited in

(5)

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

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