Individual and cooperative portfolio optimization as linear program.
Bogdan GrechukDawei HaoPublished in: Optim. Lett. (2022)
Keyphrases
- linear program
- portfolio optimization
- cooperative
- linear programming
- optimal solution
- portfolio selection
- problems involving
- semi infinite
- bi objective
- stochastic programming
- factor analysis
- stock market
- np hard
- primal dual
- robust optimization
- dynamic programming
- optimization methods
- stock exchange
- objective function
- branch and bound algorithm
- risk management
- stock price
- long term