An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints.
Pierre BonamiMiguel A. LejeunePublished in: Oper. Res. (2009)
Keyphrases
- exact solution
- optimization problems
- pseudo boolean
- column generation
- evolutionary algorithm
- lower bound
- exact algorithms
- cost function
- metaheuristic
- constraint programming
- approximate solutions
- numerical solution
- constraint satisfaction
- traveling salesman problem
- optimal solution
- linear constraints
- optimization criteria
- global constraints
- computationally challenging