Suchergebnisse - portfolio optimization linear programming absolute deviation (dynamic OR dynamika) programming

Dynamic portfolio optimization with risk control for absolute deviation model

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

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

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

An integrated stock-bond portfolio optimization model

Autoren: Hiroshi Konno Katsunari Kobayashi

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

Schlagwörter: 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

Dateibeschreibung: application/xml

Zugangs-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.

Autoren: Park, Seyoung Song, Hyunson Lee, Sungchul

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

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

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)

Autoren: هیلا رضائی غلامحسین گل ارضی امید کریمی

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

Schlagwörter: 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.

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

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

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

Modeling Portfolio Selection Under Intuitionistic Fuzzy Environments.

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

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

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

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

Autoren: Șerban, Florentin Dedu, Silvia

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

Schlagwörter: 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.

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

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

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

Portfolio optimization based on bi-objective linear programming.

Autoren: Izadi, Marzie Yaghoobi, Mohammad Ali

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

Schlagwörter: PORTFOLIO management (Investments), MATHEMATICAL optimization, BILEVEL programming

Distributionally Robust Portfolio Optimization under Marginal and Copula Ambiguity.

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

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

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

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

Autoren: Rezaei, Hila Golarzi, Gholamhossien Karimi, Omid

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

Schlagwörter: 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)

Firma/Körperschaft: SAZMAN-i Burs-i Awraq-i Bahadar-i Tihran

A Study on Portfolio Selection Based on Fuzzy Linear Programming.

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

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

Schlagwörter: 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.

Autoren: Sinon, Mohavia Ben Amid Mba, Jules Clement

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

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

An Application of Pentagonal Neutrosophic Linear Programming for Stock Portfolio Optimization.

Autoren: Khalifa, Hamiden Abd El-Wahed Saeed, Muhammad Ur Rahman, Atiqe et al.

Quelle: Neutrosophic Sets & Systems; 2022, Vol. 51, p653-665, 13p

Schlagwörter: PORTFOLIO management (Investments), LINEAR programming, AGGREGATION operators, REAL numbers, OPERATOR functions, TOPSIS method, FUZZY sets

Multiperiod mean absolute deviation uncertain portfolio selection with real constraints.

Autoren: Zhang, Peng

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

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

A Multi-Period Optimization Framework for Portfolio Selection Using Interval Analysis.

Autoren: Șerban, Florentin

Quelle: Mathematics (2227-7390); May2025, Vol. 13 Issue 10, p1552, 11p

Schlagwörter: PORTFOLIO management (Investments), MULTI-objective optimization, UNCERTAINTY (Information theory), MARKET volatility, SOLANA (Cryptocurrency)

An Improved DCC Model Based on Large-Dimensional Covariance Matrices Estimation and Its Applications.

Autoren: Zhang, Yan Tao, Jiyuan Lv, Yongyao et al.

Quelle: Symmetry (20738994); Apr2023, Vol. 15 Issue 4, p953, 15p

Schlagwörter: COVARIANCE matrices, PORTFOLIO management (Investments), QUADRATIC programming, ASSET allocation, CONVEX programming

A LINEAR-PROGRAMMING PORTFOLIO OPTIMIZER TO MEAN–VARIANCE OPTIMIZATION.

Autoren: LIU, XIAOYUE HUANG, ZHENZHONG SONG, BIWEI et al.

Quelle: International Journal of Theoretical & Applied Finance; Jun-Aug2023, Vol. 26 Issue 4/5, p1-23, 23p

Schlagwörter: MATRIX inversion, PRICES of securities, COVARIANCE matrices, PORTFOLIO management (Investments)

مقایسه عملکرد مدل‌های مارکویتز و مدل ارزش در معرض خطر براساس ریسک عدم نقدشوندگی ـ تی کاپولا با هم‌بستگی شرطی پویا (DCC t-Cupola LVaR) جهت بهینه‏سازی پرتفوی در بورس اوراق بهادار تهران. (Persian)

Alternate Title: Comparison of Markowitz Model and DCC-tCopula-LVaR for Portfolio Optimization in the Tehran Stock Exchange. (English)

Autoren: غلامرضا تقيزادگ& غلامرضا زمرديان ميرفيض فلاح شمس et al.

Quelle: Financial Research Journal (FRJ); 2023, Vol. 25 Issue 1, Preceding p152-179, 30p

Schlagwörter: PORTFOLIO management (Investments), INVESTORS, STANDARD deviations, VALUE at risk, MARGINAL distributions, ELECTRONIC portfolios

Distributionally robust mean-absolute deviation portfolio optimization using wasserstein metric.

Autoren: Chen, Dali Wu, Yuwei Li, Jingquan et al.

Quelle: Journal of Global Optimization; Nov2023, Vol. 87 Issue 2-4, p783-805, 23p

Schlagwörter: ROBUST optimization