Showing 1 - 4 of 4
In this study, we consider multi-period portfolio optimization model that is formulated as a mixed-integer second-order cone programming problems (MISOCPs). The Markowitz (1952) mean/variance framework has been extended by including transaction costs, conditional value-at-risk (CVaR),...
Persistent link: https://www.econbiz.de/10012902159
Portfolio optimization literature has come quite far in the decades since the first publication, and many modern models are formulated using second-order cone constraints and take discrete decisions into consideration. In this study, we consider both single-period and multi-period portfolio...
Persistent link: https://www.econbiz.de/10012903029
The classical economic lot-scheduling problem (ELSP) involves the batch sizing and scheduling of multiple products in a single facility under deterministic conditions over an infinite planning horizon. It is assumed that the products are delivered to customers at continuous rates. In today's...
Persistent link: https://www.econbiz.de/10012935748
In this study, we consider two competing methods, traditional mean/variance efficient portfolio and a generalization allowing for skewness as a Bayesian decision problem. Using observed (market) weights we investigate the market's preference for risk. We do this with bilevel optimization, where...
Persistent link: https://www.econbiz.de/10012935789