Global Solution Approach for a Nonconvex MINLP Problem in Product Portfolio Optimization.
Xiaoxia LinChristodoulos A. FloudasJosef KallrathPublished in: J. Glob. Optim. (2005)
Keyphrases
- global solution
- mixed integer nonlinear programming
- portfolio optimization
- global optimization
- nonlinear programming
- portfolio selection
- problems involving
- mixed integer linear programming
- mixed integer
- robust optimization
- global optimum
- optimal solution
- stock market
- factor analysis
- risk management
- bi objective
- second order cone program
- optimization methods
- optimization problems
- production planning
- saddle point
- linear programming
- multi objective
- stock price
- particle swarm optimization
- stock exchange
- linear constraints
- branch and bound algorithm
- branch and bound
- random variables
- genetic algorithm