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Cardinality-constrained programs with nonnegative variables and an SCA method
Jiang, Zhongyi; Wu, Baiyi; Hu, Qiying; Zheng, Xiaojin - In: Journal of the Operational Research Society 73 (2022) 3, pp. 634-652
Persistent link: https://www.econbiz.de/10013170169
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Probabilistic constrained optimization : methodology and applications
Uryasev, Stan (ed.) - 2000
Persistent link: https://www.econbiz.de/10001510446
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New reformulations for probabilistically constrained quadratic programs
Hsia, Yong; Wu, Baiyi; Li, Duan - In: European journal of operational research : EJOR 233 (2014) 3, pp. 550-556
Persistent link: https://www.econbiz.de/10010228240
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RAROC in portfolio optimization
Xidonas, Panagiotis; Kountzakis, Christos E.; Hassapis, … - In: International journal of financial engineering 3 (2016) 3, pp. 1-14
Persistent link: https://www.econbiz.de/10011588136
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On nonsmooth robust multiobjective optimization under generalized convexity with applications to portfolio optimization
Fakhar, Majid; Mahyarinia, Mohammad Reza; Zafarani, Jafar - In: European journal of operational research : EJOR 265 (2018) 1, pp. 39-48
Persistent link: https://www.econbiz.de/10011805297
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Producing the tangency portfolio as a corner portfolio
Keykhaei, Reza; Jahandideh, Mohamad Taghi - In: RAIRO / Operations research 47 (2013) 3, pp. 311-320
Persistent link: https://www.econbiz.de/10010493375
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A risk-gain dominance maximization approach to enhanced index tracking
Cesarone, Francesco; Lampariello, Lorenzo; Sagratella, … - In: Finance research letters 29 (2019), pp. 231-238
Persistent link: https://www.econbiz.de/10012418767
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On multiobjective combinatorial optimization and dynamic interim jedging of efficient portfolios
Dash, Gordon H.; Kajiji, Nina - In: International transactions in operational research : … 21 (2014) 6, pp. 899-918
Persistent link: https://www.econbiz.de/10010440694
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Index fund optimization using a hybrid model : genetic algorithm and mixed-integer nonlinear programming
Díaz, Juan; Cortés, María; Hernández, Juan; … - In: The engineering economist : a journal devoted to the … 64 (2019) 3, pp. 298-309
Persistent link: https://www.econbiz.de/10012195813
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Special issue on nonconvex portfolio optimization
Pachamanova, Dessislava A. (ed.); Bansal, Saurabh (ed.) - 2019
Persistent link: https://www.econbiz.de/10012195822