An algebraic approach to integer portfolio problems

Integer variables allow the treatment of some portfolio optimization problems in a more realistic way and introduce the possibility of adding some natural features to the model. We propose an algebraic approach to maximize the expected return under a given admissible level of risk measured by the co...

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Veröffentlicht in:	European journal of operational research Jg. 210; H. 3; S. 647 - 659
Hauptverfasser:	Castro, F., Gago, J., Hartillo, I., Puerto, J., Ucha, J.M.
Format:	Journal Article
Sprache:	Englisch
Veröffentlicht:	Amsterdam Elsevier B.V 01.05.2011 Elsevier Elsevier Sequoia S.A
Schriftenreihe:	European Journal of Operational Research
Schlagworte:	Algebra Applied sciences Exact sciences and technology Expected returns Finance Finance Portfolio Non-linear integer programming Grobner bases Gröbner bases Integer programming Integers Mathematical analysis Mathematical models Non-linear integer programming Operational research Operational research and scientific management Operational research. Management science Optimization Portfolio Portfolio theory Risk assessment Strategy Studies Test sets Gröbner bases Non-linear integer programming Finance Portfolio Search strategy Gröbner basis Stock exchange Algebraic method Non linear programming Covariance matrix Portfolio management Modeling
ISSN:	0377-2217, 1872-6860
Online-Zugang:	Volltext
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