Search Results - Management portfolio Mean-Variance Stochastic mixed integer quadratic programming

A mixed integer programming model for multistage mean–variance post-tax optimization by Osorio, Maria A., Gulpinar, Nalan, Rustem, Berc

“… The tax rules are used with stochastic linear and mixed integer quadratic programming models to compute an overall tax and return-risk efficient multistage portfolio…”
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A general framework for multistage mean-variance post-tax optimization by Osorio, Maria A., Gülpınar, Nalan, Rustem, Berç

“… We investigate the role of these decisions on multistage mean-variance portfolio allocation model…”
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Twenty years of linear programming based portfolio optimization by Mansini, Renata, Ogryczak, Wlodzimierz, Speranza, M. Grazia

“…: the expected return and the risk, as a measure of the variability of the return. The classical Markowitz model uses the variance as the risk measure and is a quadratic programming problem…”
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Long–short portfolio optimization in the presence of discrete asset choice constraints and two risk measures by Kumar, Ritesh, Mitra, Gautam, Roman, Diana

“… The mean-variance-CVaR model is based on the mean-variance approach but has an additional constraint on CVaR…”
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