Asset portfolio optimization using fuzzy mathematical programming.
Pankaj GuptaMukesh Kumar MehlawatAnand SaxenaPublished in: Inf. Sci. (2008)
Keyphrases
- mathematical programming
- portfolio optimization
- robust optimization
- goal programming
- sharpe ratio
- portfolio selection
- portfolio management
- linear programming
- combinatorial optimization
- factor analysis
- risk management
- problems involving
- bi objective
- transaction costs
- mixed integer linear
- cost function
- optimization methods
- vehicle routing problem
- stock market
- principal component analysis