Suchergebnisse - Management portfolio Mean-Variance Stochastic mixed integer quadratic programming

A mixed integer programming model for multistage mean–variance post-tax optimization

Autoren: Osorio, Maria A. Gulpinar, Nalan Rustem, Berc

Quelle: European Journal of Operational Research. Mar2008, Vol. 185 Issue 2, p451-480. 30p.

Schlagwörter: *STOCHASTIC analysis, *PORTFOLIO management (Investments), *INVESTMENT analysis, *FINANCIAL management

A general framework for multistage mean-variance post-tax optimization.

Autoren: Osorio, Maria A. Gülpmar, Nalan Rustem, Berç

Quelle: Annals of Operations Research. Jan2008, Vol. 157 Issue 1, p3-23. 21p. 1 Diagram, 6 Charts, 6 Graphs.

Schlagwörter: *MATHEMATICAL optimization, *PORTFOLIO management (Investments), *QUADRATIC programming, *INVESTORS, *TAXATION, *BANKING industry

A knowledge-based constructive estimation of distribution algorithm for bi-objective portfolio optimization with cardinality constraints.

Autoren: Zhang, Zhi-Xuan Chen, Wei-Neng Hu, Xiao-Min

Quelle: Applied Soft Computing. Oct2023, Vol. 146, pN.PAG-N.PAG. 1p.

Schlagwörter: Distribution (Probability theory), Portfolio management (Investments), Ant algorithms, Stochastic programming

Time consistent expected mean-variance in multistage stochastic quadratic optimization: a model and a matheuristic.

Autoren: Aldasoro, Unai Merino, María Pérez, Gloria

Quelle: Annals of Operations Research; Sep2019, Vol. 280 Issue 1/2, p151-187, 37p

Schlagwörter: PRODUCTION planning, COMPETITION (Psychology), QUADRATIC programming, COST analysis, RISK aversion

Mean-Variance-VaR portfolios: MIQP formulation and performance analysis.

Autoren: Cesarone, Francesco Martino, Manuel L. Tardella, Fabio

Quelle: OR Spectrum; Sep2023, Vol. 45 Issue 3, p1043-1069, 27p

Schlagwörter: FINANCIAL risk management, PORTFOLIO management (Investments), EXPECTED returns, FINANCIAL services industry, QUADRATIC programming, MULTICASTING (Computer networks)

Complex portfolio selection via convex mixed‐integer quadratic programming: a survey.

Autoren: Mencarelli, Luca D'Ambrosio, Claudia

Quelle: International Transactions in Operational Research; Mar2019, Vol. 26 Issue 2, p389-414, 26p, 1 Chart

Schlagwörter: QUADRATIC programming, FINANCE, PROBABILITY theory, SUPPLY chains, BUSINESS enterprises

Solving cardinality constrained mean-variance portfolio problems via MILP.

Autoren: Dehghan Hardoroudi, Nasim Keshvari, Abolfazl Kallio, Markku et al.

Quelle: Annals of Operations Research; Jul2017, Vol. 254 Issue 1/2, p47-59, 13p

Schlagwörter: INVESTORS, QUADRATIC programming, NONLINEAR programming, ALGORITHMS, HEURISTIC

QUADRATIC CONVEX REFORMULATIONS FOR SEMICONTINUOUS QUADRATIC PROGRAMMING.

Autoren: BAIYI WU XIAOLING SUN DUAN LI et al.

Quelle: SIAM Journal on Optimization; 2017, Vol. 27 Issue 3, p1531-1553, 23p

Schlagwörter: MIXED integer linear programming, QUADRATIC programming, SEMIDEFINITE programming, SUBSET selection, ALGORITHMS

Linear and Mixed Integer Programming for Portfolio Optimization

Autoren: Renata Mansini Włodzimierz Ogryczak M. Grazia Speranza

Resource Type: eBook.

Schlagworte: Operations research, Finance, Social sciences—Mathematics, Management science

Categories: BUSINESS & ECONOMICS / Operations Research, BUSINESS & ECONOMICS / Finance / General, BUSINESS & ECONOMICS / Management Science, MATHEMATICS / Applied

Model Optimasi Integer Campuran Untuk Persoalan Multi-Tahap Mean-Varians Pasca-Pajak (Post-Tax)

Autoren: Ranut, Sahrul Hasan Sitompul, Opim Salim Suwilo, Saib

Weitere Verfasser: Ranut, Sahrul Hasan Sitompul, Opim Salim Suwilo, Saib

Schlagwörter: Optimization of post-tax, Management portfolio Mean-Variance Stochastic mixed integer quadratic programming, stat, eco

Relation: http://repository.usu.ac.id/handle/123456789/39490

Verfügbarkeit: http://repository.usu.ac.id/handle/123456789/39490

A Hybrid Particle Swarm Optimization Approach To Mixed Integer Quadratic Programming For Portfolio Selection Problems.

Autoren: Yaakob, Shamshul Bahar Watada, Junzo

Quelle: International Journal of Simulation: Systems, Science & Technology; 2010, Vol. 11 Issue 5, p68-74, 7p

Schlagwörter: PARTICLE swarm optimization, INVESTMENTS, FINANCIAL security, HEURISTIC algorithms, GENETIC algorithms, STAGNATION (Economics)

Improving the Performance of MIQP Solvers for Quadratic Programs with Cardinality and Minimum Threshold Constraints: A Semidefinite Program Approach.

Autoren: Xiaojin Zheng Xiaoling Sun Duan Li

Quelle: INFORMS Journal on Computing; Fall2014, Vol. 26 Issue 4, p690-703, 14p

Schlagwörter: QUADRATIC programming, SEMIDEFINITE programming, DECOMPOSITION method, SUBSET selection, REGRESSION analysis, CARDINAL numbers, THRESHOLDING algorithms

An algorithm based on Mean-CVaR for selecting efficient portfolio with cardinality constraints.

Autoren: Fattahi, F. Lotfi, F. Hosseinzadeh Mehrabian, S. et al.

Quelle: International Journal of Industrial Mathematics; Summer2024, Vol. 16 Issue 3, p20-33, 14p

Schlagwörter: STOCK prices, SMALL capitalization stocks, NONLINEAR programming, NP-hard problems, INVESTORS

Robust Quadratic Programming with Mixed-Integer Uncertainty.

Autoren: Mittal, Areesh Gokalp, Can Hanasusanto, Grani A.

Quelle: INFORMS Journal on Computing; Spring2020, Vol. 32 Issue 2, p201-218, 18p

Schlagwörter: QUADRATIC programming, ROBUST programming, ROBUST optimization, INTEGER programming, NP-hard problems, UNCERTAINTY, SEMIDEFINITE programming

Optimal Cardinality Constrained Portfolio Selection.

Autoren: Jianjun Gao Duan Li

Quelle: Operations Research; May/Jun2013, Vol. 61 Issue 3, p745-761, 17p, 1 Black and White Photograph, 6 Charts

Schlagwörter: QUADRATIC programming, CONSTRAINT programming, NONLINEAR programming, SEMIDEFINITE programming, MIXED integer linear programming, LINEAR programming

Risk preference modeling with conditional average: an application to portfolio optimization.

Autoren: Krzemienowski, Adam

Quelle: Annals of Operations Research; Jan2009, Vol. 165 Issue 1, p67-95, 29p, 2 Diagrams, 5 Charts, 4 Graphs

Schlagwörter: RISK management in business, INVESTMENTS, VALUE at risk, PROSPECT theory, STOCHASTIC orders, QUADRATIC programming

A novel probabilistic formulation for locating and sizing emergency medical service stations.

Autoren: Zhang, Zhi-Hai Li, Kang

Quelle: Annals of Operations Research; Jun2015, Vol. 229 Issue 1, p813-835, 23p

Schlagwörter: PROBABILITY theory, MIXED integer linear programming, EMERGENCY medical services, CONSTRAINT programming, QUADRATIC programming

Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems.

Autoren: Cui, X. Zheng, X. Zhu, S. et al.

Quelle: Journal of Global Optimization; Aug2013, Vol. 56 Issue 4, p1409-1423, 15p

Schlagwörter: QUADRATIC programming, NONLINEAR programming, MATHEMATICAL optimization, LAGRANGE equations, MATHEMATICAL decomposition

A two-stage stochastic programming approach for generation and transmission maintenance scheduling with risk management.

Autoren: Fan, Aoyu Huang, Zhouchun Zheng, Qipeng et al.

Quelle: Computational Optimization & Applications; Dec2025, Vol. 92 Issue 3, p787-809, 23p

Schlagwörter: STOCHASTIC programming, MIXED integer linear programming, DECOMPOSITION method, RISK managers, RENEWABLE energy sources, SENSITIVITY analysis

Optimising data-driven network under limited resource: a partial diversification approach.

Autoren: Wu, Dexiang Wu, Desheng Dash Kwon, Roy H.

Quelle: International Journal of Production Research; Nov2019, Vol. 57 Issue 21, p6875-6892, 18p, 1 Diagram, 9 Charts

Schlagwörter: MIXED integer linear programming, DECOMPOSITION method, TRANSACTION costs, STOCHASTIC programming