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Linear and Mixed Integer Programming for Portfolio Optimization
Mansini, Renata, (2015)
Survey of multi-objective portfolio optimization by linear and mixed integer programming
Sawik, Bartosz, (2013)
Optimierung eines Portfolios mit hydro-thermischem Kraftwerkspark im börslichen Strom- und Gasterminmarkt
Bagemihl, Joachim, (2003)
Linear programming models based on omega ratio for the enhanced index tracking problem
Guastaroba, Gianfranco, (2016)
Enhanced index tracking with CVaR-based ratio measures
Guastaroba, Gianfranco, (2020)