Twenty years of linear programming based portfolio optimization.
Renata MansiniWlodzimierz OgryczakMaria Grazia SperanzaPublished in: Eur. J. Oper. Res. (2014)
Keyphrases
- portfolio optimization
- linear programming
- portfolio selection
- linear program
- portfolio management
- robust optimization
- problems involving
- risk management
- mathematical programming
- optimization methods
- factor analysis
- bi objective
- stock market
- semidefinite programming
- optimal solution
- np hard
- dynamic programming
- primal dual
- stock price
- network flow
- stock exchange
- objective function
- long term
- decision making
- decision theory
- evolutionary algorithm