In this study, we use zero-one variables to control fixed transaction costs independent of trade size in the portfolio selection problem. The optimal solution to the maximum flow, risk constrained stochastic portfolio network is found using Digital Portfolio Theory (DPT). Digital signals...

Simulation is an important tool to make design and operation decisions to enhance the performance of manufacturing processes and systems. The coordinated use of optimisation methods and simulation models can result in better decisions. This paper presents an optimisation via simulation (OvS)...

In this study, we use zero-one variables to control fixed transaction costs independent of trade size in the portfolio selection problem. The optimal solution to the maximum flow, risk constrained stochastic portfolio network is found using Digital Portfolio Theory (DPT). Digital signals...