A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem.

Stefano Benati Romeo Rizzi

Published in: Eur. J. Oper. Res. (2007)

Keyphrases

integer linear programming formulation
portfolio management
optimal portfolio
decision making
investment strategies
optimal solution
quadratic assignment problem
portfolio optimization
dynamic programming
risk management
investment decisions
neural network
genetic algorithm