An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints

SSRN Electronic Journal
doi 10.2139/ssrn.975574
Full Text
Abstract

Available in full text

Date
Authors
Publisher

Elsevier BV

Related search

An Exact Penalty Approach for Mixed Integer Nonlinear Programming Problems

American Journal of Operations Research
2011English

Portfolio Optimization With Stochastic Dominance Constraints

Journal of Banking and Finance
EconomicsEconometricsFinance
2006English

Exact Solution Method to Solve Large Scale Integer Quadratic Multidimensional Knapsack Problems

Journal of Combinatorial Optimization
ControlOptimizationCombinatoricsApplied MathematicsDiscrete MathematicsComputer Science ApplicationsMathematicsComputational Theory
2007English

Exact Penalty Functions for Nonlinear Integer Programming Problems

Journal of Optimization Theory and Applications
ControlManagement ScienceApplied MathematicsOptimizationOperations Research
2010English

Multipoint Linear Approximations for Stochastic Chance Constrained Optimization Problems With Integer Design Variables

2000English

A Benchmark Approach to Portfolio Optimization Under Partial Information

Asia-Pacific Financial Markets
Finance
2007English

Solution of Some Max-Separable Optimization Problems With Inequality Constraints

Contemporary Mathematics
Mathematics
2005English

An Extended Stochastic Goal Mixed Integer Programming for Optimal Portfolio Selection in the Amman Stock Exchange

International Journal of Financial Research
FinanceBusinessEconomicsInternational ManagementAccountingEconometrics
2019English

Portfolio Optimization With Ambiguous Correlation and Stochastic Volatilities

SIAM Journal on Control and Optimization
ControlApplied MathematicsOptimization
2016English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2024 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy