Threshold accepting approach to improve bound-based approximations for portfolio optimization

MaRDI QIDQ3524406zbMATH OpenFDO

Authors Daniel Kuhn, Panos Parpas, Berç Rustem

Publication date 9 September 2008

zbMATH Keywords

boundsportfolio optimizationstochastic programmingthreshold acceptingtime discretization

Mathematics Subject Classification ID

Stochastic programming (90C15) Portfolio theory (91G10)

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Cited in

(4)

• Convergent bounds for stochastic programs with expected value constraints
• Bound-based decision rules in multistage stochastic programming
• Numerical methods for portfolio selection with bounded constraints
• A global optimization problem in portfolio selection

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