Model and efficient algorithm for the portfolio selection problem with real-world constraints under value-at-risk measure.
Farnaz HooshmandZ. AnoushirvaniS. A. MirHassaniPublished in: Int. Trans. Oper. Res. (2023)
Keyphrases
- mathematical model
- probabilistic model
- cost function
- recognition algorithm
- real world
- objective function
- algorithm employs
- single pass
- classification algorithm
- estimation algorithm
- final result
- synthetic datasets
- search space
- tree structure
- input data
- theoretical analysis
- selection algorithm
- neural network
- kalman filter
- high efficiency
- parameter estimation
- optimization model
- computational cost
- computationally tractable
- multiple constraints
- constrained optimization
- spatial constraints
- matching algorithm
- geometric constraints
- detection algorithm
- em algorithm
- similarity measure
- preprocessing
- learning algorithm
- particle swarm optimization
- worst case
- mixed integer
- image segmentation
- dynamic programming
- pruning strategy
- integer program
- computational complexity
- search algorithm