Search Results - portfolio optimization linear programming absolute (deviation OR animation) dynamic programming~

Dynamic portfolio optimization with risk control for absolute deviation model

Authors: Yu, Mei Takahashi, Satoru Inoue, Hiroshi et al.

Source: European Journal of Operational Research. Mar2010, Vol. 201 Issue 2, p349-364. 16p.

Subject Terms: *PORTFOLIO management (Investments), *DYNAMIC programming, *LOSS control, *ANALYSIS of variance, *ALGORITHMS, *STRATEGIC planning, *MATHEMATICAL models, DEVIATION (Statistics)

Multiperiod mean absolute deviation uncertain portfolio selection with real constraints.

Authors: Zhang, Peng

Source: Soft Computing - A Fusion of Foundations, Methodologies & Applications; Jul2019, Vol. 23 Issue 13, p5081-5098, 18p

Subject Terms: ROBUST optimization, INVESTMENT policy, TRANSACTION costs, RETURN on assets, DYNAMIC programming, LOSS control, OPTIMAL control theory

An integrated stock-bond portfolio optimization model

Authors: Hiroshi Konno Katsunari Kobayashi

Source: Journal of Economic Dynamics and Control. 21:1427-1444

Subject Terms: Large-scale problems in mathematical programming, portfolio choice, Applications of mathematical programming, Portfolio theory, Linear programming, 0502 economics and business, 05 social sciences, stock-bond model, mean-absolute deviation model, 0211 other engineering and technologies, 02 engineering and technology, Quadratic programming, asset allocation

File Description: application/xml

Access URL: https://www.sciencedirect.com/science/article/abs/pii/S016518899700033X
https://ideas.repec.org/a/eee/dyncon/v21y1997i8-9p1427-1444.html

Linear programing models for portfolio optimization using a benchmark.

Authors: Park, Seyoung Song, Hyunson Lee, Sungchul

Source: European Journal of Finance; Mar2019, Vol. 25 Issue 5, p435-457, 23p

Subject Terms: PORTFOLIO management (Investments), LINEAR programming, FINANCIAL management, INVESTORS, INVESTMENTS

Robust Portfolio Mean-Variance Optimization for Capital Allocation in Stock Investment Using the Genetic Algorithm: A Systematic Literature Review.

Authors: Fransisca, Diandra Chika Sukono Chaerani, Diah et al.

Source: Computation; Aug2024, Vol. 12 Issue 8, p166, 18p

Subject Terms: PORTFOLIO management (Investments), INVESTORS, CAPITAL allocation, ECONOMIC uncertainty

Portfolio optimization of credit risky bonds: a semi-Markov process approach

Authors: Puneet Pasricha Dharmaraja Selvamuthu Guglielmo D’Amico et al.

Source: Financial Innovation, Vol 6, Iss 1, Pp 1-14 (2020)

Subject Terms: Semi-Markov process, Credit ratings, Credit risky bonds, Portfolio optimization, Min-max absolute deviation, Public finance, K4430-4675, Finance, HG1-9999

File Description: electronic resource

Relation: http://link.springer.com/article/10.1186/s40854-020-00186-1; https://doaj.org/toc/2199-4730

Access URL: https://doaj.org/article/037d92da0d2b4b91b34720f1e527c8d3

LP solvable models for portfolio optimization: a classification and computational comparison.

Authors: Mansini, Renata Ogryczak, Wlodzimierz Speranza, M. Grazia

Source: IMA Journal of Management Mathematics; Jul2003, Vol. 14 Issue 3, p187-220, 14p, 12 Charts, 6 Graphs

Subject Terms: MATHEMATICAL optimization, MATHEMATICAL analysis, OPERATIONS research, DYNAMIC programming, MATHEMATICAL programming, SYSTEMS engineering

مدل انتخاب پرتفولیوی بهینه میانه انحراف مطلق - آنتروپی شانون مبتنی بر برنامه ریزی آرمانی. (Persian)

Alternate Title: Portfolio Optimization Model based on Median Absolute Deviation-Shannon Entropy by Goal Programming. (English)

Authors: هیلا رضائی غلامحسین گل ارضی امید کریمی

Source: Journal of Development & Capital / Majallah-i tusiah & Sarmāyah; 2025, Vol. 10 Issue 1, p161-178, 21p

Subject Terms: PORTFOLIO management (Investments), GOAL programming, RISK management in business, LEAST absolute deviations (Statistics), UNCERTAINTY (Information theory), DISTRIBUTION (Probability theory), SKEWNESS (Probability theory)

People: SHANNON, Claude Elwood, 1916-2001

THE MODIFIED MEAN ABSOLUTE DEVIATION INTEGER LINEAR PROGRAMMING MODEL FOR GLOBAL PORTFOLIO ASSET ALLOCATION.

Authors: Abdul Hadi, Nadia Edmaz Nadhar Khan, Sahubar Ali Mohamed

Source: Journal of Computational Innovation & Analytics (JCIA); Jul2024, Vol. 3 Issue 2, p1-25, 25p

Subject Terms: ASSET allocation, PORTFOLIO management (Investments), LINEAR programming, FOREIGN exchange, TRANSACTION costs

Modeling Portfolio Selection Under Intuitionistic Fuzzy Environments.

Authors: Derya, Tusan Kelce, Mehveş Güliz Atalay, Kumru Didem

Source: Mathematics (2227-7390); Oct2025, Vol. 13 Issue 20, p3303, 22p

Subject Terms: PORTFOLIO management (Investments), MATHEMATICAL programming, INVESTMENT policy, FINANCIAL markets, FUZZY mathematics, RISK-taking behavior, EXPECTED returns

Reinforcement Learning for Solving the Knapsack Problem.

Authors: Zhang, Zhenfu Yin, Haiyan Zuo, Liudong et al.

Source: Computers, Materials & Continua; 2025, Vol. 84 Issue 1, p919-936, 18p

Subject Terms: REINFORCEMENT learning, TIME complexity, DYNAMIC programming, COMBINATORIAL optimization, PROBLEM solving, KNAPSACK problems

A Scalarized Entropy-Based Model for Portfolio Optimization: Balancing Return, Risk and Diversification.

Authors: Șerban, Florentin Dedu, Silvia

Source: Mathematics (2227-7390); Oct2025, Vol. 13 Issue 20, p3311, 14p

Subject Terms: PORTFOLIO management (Investments), PORTFOLIO diversification, SUSTAINABLE investing, ENTROPY, MULTI-objective optimization, RISK managers, CRYPTOCURRENCIES, DIVERSIFICATION in industry

Hedging against demand ambiguity in new product development: a two-stage distributionally robust approach.

Authors: Li, Yuanbo Lin, Meiyan Shen, Houcai et al.

Source: Annals of Operations Research; May2025, Vol. 348 Issue 2, p1001-1035, 35p

Subject Terms: NEW product development, SUPPLY chain disruptions, ROBUST optimization, COVID-19 pandemic, LINEAR programming

Portfolio optimization based on bi-objective linear programming.

Authors: Izadi, Marzie Yaghoobi, Mohammad Ali

Source: RAIRO: Operations Research (2804-7303); 2024, Vol. 58 Issue 1, p713-739, 27p

Subject Terms: PORTFOLIO management (Investments), MATHEMATICAL optimization, BILEVEL programming

Distributionally Robust Portfolio Optimization under Marginal and Copula Ambiguity.

Authors: Fan, Zhengyang Ji, Ran Lejeune, Miguel A.

Source: Journal of Optimization Theory & Applications; Dec2024, Vol. 203 Issue 3, p2870-2907, 38p

Subject Terms: MIXED integer linear programming, PORTFOLIO performance, ROBUST optimization, MARGINAL distributions, VALUE at risk

Chance-constrained multiperiod mean absolute deviation uncertain portfolio selection.

Authors: Zhang, Peng

Source: Journal of Industrial & Management Optimization; 2019, Vol. 15 Issue 2, p537-564, 28p

Subject Terms: ROBUST optimization, TRANSACTION costs, VALUE at risk, RETURN on assets, INVESTMENT software, DYNAMIC programming, EXPECTED returns, STOCHASTIC programming

Constrained portfolio optimization with discrete variables: An algorithmic method based on dynamic programming.

Authors: Jezeie, Fereshteh Vaezi Sadjadi, Seyed Jafar Makui, Ahmad

Source: PLoS ONE; 7/28/2022, Vol. 17 Issue 7, p1-15, 15p

Subject Terms: PORTFOLIO management (Investments), DYNAMIC programming, KNAPSACK problems, CONSTRAINED optimization, FINANCIAL markets, STOCK exchanges

Comparing Optimal Portfolio Performance Based on Skew-Normal Distribution and Skew-Laplace-Normal Distribution: A Mean-Absolute Deviation-Entropy Approach.

Authors: Rezaei, Hila Golarzi, Gholamhossien Karimi, Omid

Source: Industrial Management Journal (IMJ); 2024, Vol. 16 Issue 2, p192-214, 23p

Subject Terms: PORTFOLIO management (Investments), UNCERTAINTY (Information theory), DISTRIBUTION (Probability theory), GAUSSIAN distribution, MAXIMUM likelihood statistics, KURTOSIS, MULTI-objective optimization, RATE of return on stocks, SKEWNESS (Probability theory)

Company/Entity: SAZMAN-i Burs-i Awraq-i Bahadar-i Tihran

A Study on Portfolio Selection Based on Fuzzy Linear Programming.

Authors: Akbaş, Serkan Erbay Dalkiliç, Türkan Gül Aksoy, Tuğba

Source: International Journal of Uncertainty, Fuzziness & Knowledge-Based Systems; Apr2022, Vol. 30 Issue 2, p211-230, 20p

Subject Terms: STANDARD & Poor's 500 Index, PORTFOLIO management (Investments), STOCK exchanges, EXPECTED returns, FUZZY logic

The analysis of diversification properties of stablecoins through the Shannon entropy measure.

Authors: Sinon, Mohavia Ben Amid Mba, Jules Clement

Source: Knowledge & Information Systems; Sep2024, Vol. 66 Issue 9, p5501-5540, 40p

Subject Terms: INVESTORS, UNCERTAINTY (Information theory), SPREAD (Finance), LINEAR programming, U.S. dollar