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Probabilistic constrained optimization : methodology and applications

Uryasev, Stan (ed.) - 2000

Persistent link: https://www.econbiz.de/10001510446

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

Kuhn, Daniel; Parpas, Panos; Rustem, Berç - In: Computational methods in financial engineering : essays …, (pp. 3-26). 2008

Persistent link: https://www.econbiz.de/10003669410

Quadratic convex reformulation for quadratic programming with linear on-off constraints

Wu, Baiyi; Li, Duan; Jiang, Rujun - In: European journal of operational research : EJOR 274 (2019) 3, pp. 824-836

Persistent link: https://www.econbiz.de/10011990236

Index fund optimization using a hybrid model : genetic algorithm and mixed-integer nonlinear programming

Díaz, Juan; Cortés, María; Hernández, Juan; … - In: The engineering economist : a journal devoted to the … 64 (2019) 3, pp. 298-309

Persistent link: https://www.econbiz.de/10012195813

Submodularity in conic quadratic mixed 0-1 optimization

Atamtürk, Alper; Gómez, Andrés - In: Operations research 68 (2020) 2, pp. 609-630

Persistent link: https://www.econbiz.de/10012213396

On nonsmooth robust multiobjective optimization under generalized convexity with applications to portfolio optimization

Fakhar, Majid; Mahyarinia, Mohammad Reza; Zafarani, Jafar - In: European journal of operational research : EJOR 265 (2018) 1, pp. 39-48

Persistent link: https://www.econbiz.de/10011805297

Portfolio optimization : application of the Markowitz model using lagrange and profitability forecast

Brătian, Vasile - In: Expert journal of economics 6 (2018) 1, pp. 26-34

This paper presents the theoretical and applicative model elaborated by Harry Markowitz on the determination of the structure of the efficient securities portfolio. In this sense, in order to determine the structure of the efficient Markowitz portfolio (PE), a Lagrange function is built and...

Persistent link: https://www.econbiz.de/10012062904

A stochastic programming model with decision dependent uncertainty realizations for technology portfolio management

Solak, Senay; Clarke, John-Paul; Johnson, Ellis; … - In: Operations research proceedings 2007 : selected papers …, (pp. 75-80). 2008

Persistent link: https://www.econbiz.de/10003716095

On the semimartingale property via bounded logarithmic utility

Larsen, Kasper; Žitković, Gordan - In: Annals of finance 4 (2008) 2, pp. 255-268

Persistent link: https://www.econbiz.de/10003645478

A resource portfolio planning model using sampling-based stochastic programming and genetic algorithm

Wang, K.-J.; Wang, S.-M.; Chen, James-C. - In: European journal of operational research : EJOR 184 (2008) 1, pp. 327-340

Persistent link: https://www.econbiz.de/10003768214

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