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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

Inter-cell movement minimisation in a cellular manufacturing system having stochastic parameters

Salarian, Reza; Fazlollahtabar, Hamed; Mahdavi, Iraj - In: International journal of services and operations management 17 (2014) 1, pp. 67-87

Persistent link: https://www.econbiz.de/10010389451

A stochastic maritime transportation-inventory problem with gamma, exponential, and uniform demand distributions

Soroush, Hossein M.; Al-Yakoob, Salem M.; Alqallaf, … - In: European journal of industrial engineering : EJIE 14 (2020) 6, pp. 813-850

Persistent link: https://www.econbiz.de/10012504279

On capital accumulation paths in a neoclassical stochastic growth model

Mitra, Kaushik - In: Economic theory : official journal of the Society for … 11 (1998) 2, pp. 457-464

Persistent link: https://www.econbiz.de/10001236022

Chance constrained programming formulations for stochastic characterizations of efficiency and dominance in DEA

Cooper, William W. (contributor) - In: Journal of productivity analysis 9 (1998) 1, pp. 53-79

Persistent link: https://www.econbiz.de/10001236197

A priori optimization with recourse for the vehicle routing problem with hard time windows and stochastic service times

Errico, Fausto; Desaulniers, Guy; Gendreau, Michel; Rei, W. - In: European journal of operational research : EJOR 249 (2016) 1, pp. 55-66

Persistent link: https://www.econbiz.de/10011434868

Hybrid robust and stochastic optimization for closed-loop supply chain network design using accelerated Benders decomposition

Keyvanshokooh, Esmaeil; Ryan, Sarah M.; Kabir, Elnaz - In: European journal of operational research : EJOR 249 (2016) 1, pp. 76-92

Persistent link: https://www.econbiz.de/10011434878

Multidimensional endogenous gridpoint method : solving triangular dynamic stochastic optimization problems without root-finding operations

Iskhakov, Fedor - In: Economics letters 135 (2015), pp. 72-76

Persistent link: https://www.econbiz.de/10011434897

On-time delivery probabilistic models for the vehicle routing problem with stochastic demands and time windows

Zhang, Junlong; Lam, William H. K.; Chen, Bi Yu - In: European journal of operational research : EJOR 249 (2016) 1, pp. 144-154

Persistent link: https://www.econbiz.de/10011434899

Time-inconsistent multistage stochastic programs : martingale bounds

Pflug, Georg; Pichler, Alois - In: European journal of operational research : EJOR 249 (2016) 1, pp. 155-163

Persistent link: https://www.econbiz.de/10011434903

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