Solving long-term financial planning problems via global optimization
From MaRDI portal
Recommendations
- Exact methods for large-scale multi-period financial planning problems
- scientific article; zbMATH DE number 6296768
- Financial planning via multi-stage stochastic optimization.
- Global Optimization of the Scenario Generation and Portfolio Selection Problems
- Financial optimization: optimization paradigms and financial planning under uncertainty
- Global optimization of costly non-convex functions with financial applications
- Large-scale financial planning via a partially observable stochastic dual dynamic programming framework
- An asymptotic method to a financial optimization problem
- A global optimization problem in portfolio selection
Cites work
- scientific article; zbMATH DE number 824994 (Why is no real title available?)
- A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees
- A New Scenario Decomposition Method for Large-Scale Stochastic Optimization
- CONOPT—A Large-Scale GRG Code
- Design and Testing of a Generalized Reduced Gradient Code for Nonlinear Programming
- Global minimum potential energy conformations of small molecules
- Global optimization for molecular conformation problems
- Integrated Simulation and Optimization Models for Tracking Indices of Fixed-Income Securities
- On decision rules in stochastic programming
- Optimum consumption and portfolio rules in a continuous-time model
- Parallelization and aggregation of nested Benders decomposition
- Portfolio Selection with Transaction Costs
- Primal-relaxed dual global optimization approach
- Scenarios and Policy Aggregation in Optimization Under Uncertainty
- Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse
- Stochastic Network Programming for Financial Planning Problems
Cited in
(53)- Global optimization of linear multiplicative programming using univariate search
- A criterion-space branch-reduction-bound algorithm for solving generalized multiplicative problems
- A criterion space algorithm for solving linear multiplicative programming problems
- A nonisolated optimal solution of general linear multiplicative programming problems
- QPLIB: a library of quadratic programming instances
- Global optimization algorithm for solving linear multiplicative programming problems
- The optimal portfolio problem with coherent risk measure constraints.
- A polynomial optimization approach to constant rebalanced portfolio selection
- A one-dimensional branching rule based branch-and-bound algorithm for minimax linear fractional programming
- Exact methods for large-scale multi-period financial planning problems
- Dynamically generated cutting planes for mixed-integer quadratically constrained quadratic programs and their incorporation into GloMIQO 2
- An outcome-space finite algorithm for solving linear multiplicative programming
- Global optimization algorithm for a generalized linear multiplicative programming
- Linearization method for a class of multiplicative programming with exponent
- An Affine Control Method for Optimal Dynamic Asset Allocation with Transaction Costs
- A new accelerating method for globally solving a class of nonconvex programming problems
- Modifications of real code genetic algorithm for global optimization
- A new hybrid method for solving global optimization problem
- Global algorithm for effectively solving min-max affine fractional programs
- Optimal deviations from an asset allocation.
- Global algorithm for solving linear multiplicative programming problems
- Globally minimizing a class of linear multiplicative forms via simplicial branch-and-bound
- Outer space branch and bound algorithm for solving linear multiplicative programming problems
- Financial planning via multi-stage stochastic optimization.
- Global optimization method for linear multiplicative programming
- Constant rebalanced portfolio optimization under nonlinear transaction costs
- The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach
- \(\text{CO}_{2} \) emissions trading planning in combined heat and power production via multi-period stochastic optimization
- Enhancing PSO methods for global optimization
- Linear decomposition approach for a class of nonconvex programming problems
- Output-space outer approximation branch-and-bound algorithm for a class of linear multiplicative programs
- Global optimization advances in mixed-integer nonlinear programming, MINLP, and constrained derivative-free optimization, CDFO
- A practicable branch-and-bound algorithm for globally solving linear multiplicative programming
- Simulation-based parametric optimization for long-term asset allocation using behavioral utilities
- Global optimization of higher order moments in portfolio selection
- An efficient algorithm for globally solving generalized linear multiplicative programming
- A method of acceleration for a class of multiplicative programming problems with exponent
- GLOMIQO: global mixed-integer quadratic optimizer
- A global optimization approach for solving generalized nonlinear multiplicative programming problem
- An outcome space branch-and-bound algorithm for a class of linear multiplicative programming problems
- A method based on parametric convex programming for solving convex multiplicative programming problem
- Approximating a linear multiplicative objective in watershed management optimization
- Outer space branch-reduction-bound algorithm for solving generalized affine multiplicative problems
- Portfolio optimization for wealth-dependent risk preferences
- An efficient spatial branch-and-bound algorithm using an adaptive branching rule for linear multiplicative programming
- A novel branch-and-bound algorithm for solving linear multiplicative programming problems
- On the use of optimization models for portfolio selection: A review and some computational results
- Trend-following hedge funds and multi-period asset allocation
- A novel convex relaxation-strategy-based algorithm for solving linear multiplicative problems
- scientific article; zbMATH DE number 6296768 (Why is no real title available?)
- Parameter estimation in stochastic scenario generation systems
- A branch and bound algorithm for globally solving a class of nonconvex programming problems
- Global minimization for generalized polynomial fractional program
This page was built for publication: Solving long-term financial planning problems via global optimization
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1391442)
