A decision support approach for two-stage multi-objective index tracking using improved lagrangian decomposition
Year of publication: |
2020
|
---|---|
Authors: | Wu, Dexiang ; Wu, Desheng Dash |
Published in: |
Omega : the international journal of management science. - Oxford [u.a.] : Elsevier, ISSN 0305-0483, ZDB-ID 124502-8. - Vol. 91.2020, p. 1-13
|
Subject: | Index tracking | Progressive hedging | Stochastic mixed integer linear program (SMILP) | Uncertainty | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Hedging | Aktienindex | Stock index | Portfolio-Management | Portfolio selection | Multikriterielle Entscheidungsanalyse | Multi-criteria analysis |
-
A multiobjective model for passive portfolio management : an application on the S&P 100 index
GarcĂa, Fernando, (2013)
-
A heuristic approach to the index tracking problem : a case study of the Tehran Exchange Price Index
Varsei, Mohsen, (2013)
-
Genetic algorithm versus classical methods in sparse index tracking
Giuzio, Margherita, (2017)
- More ...
-
Fuzzy multi-objective programming for supplier selection and risk modeling: A possibility approach
Wu, Desheng Dash, (2010)
-
A robust decision support approach to portfolio risk reduction based on credit default swap
Wu, Dexiang, (2018)
-
Supply chain DEA : production possibility set and performance evaluation model
Yang, Feng, (2011)
- More ...