A Stochastic-Goal Mixed-Integer Programming approach for integrated stock and bond portfolio optimization.
Stephen J. StoyanRoy H. KwonPublished in: Comput. Ind. Eng. (2011)
Keyphrases
- mixed integer programming
- portfolio optimization
- stock market
- stock price
- column generation
- portfolio selection
- lot sizing
- stock exchange
- production planning
- factor analysis
- risk management
- problems involving
- mixed integer
- bi objective
- optimization methods
- financial markets
- robust optimization
- historical data
- non stationary
- special case
- simulated annealing