Optimizing returns with stock option strategies : An integer programming approach.
Rajiv P. MehtaPublished in: Comput. Oper. Res. (1982)
Keyphrases
- integer programming
- np hard
- lagrangian relaxation
- constraint programming
- production planning
- integer program
- linear programming
- ai planning
- set covering
- column generation
- cutting plane
- network flow
- cutting plane algorithm
- stock price
- facility location
- option pricing
- crew scheduling
- computational complexity
- np complete
- valid inequalities
- transportation problem
- dantzig wolfe decomposition