On LP Solvable Models for Portfolio Selection
暂无分享,去创建一个
Maria Grazia Speranza | Wlodzimierz Ogryczak | Renata Mansini | W. Ogryczak | R. Mansini | M. Speranza
[1] W. Sharpe. OF FINANCIAL AND QUANTITATIVE ANALYSIS December 1971 A LINEAR PROGRAMMING APPROXIMATION FOR THE GENERAL PORTFOLIO ANALYSIS PROBLEM , 2009 .
[2] M. Rothschild,et al. Increasing risk: I. A definition , 1970 .
[3] W. Ogryczak,et al. LP solvable models for portfolio optimization: a classification and computational comparison , 2003 .
[4] G. Mitra,et al. Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints , 2001 .
[5] R. Rockafellar,et al. Optimization of conditional value-at risk , 2000 .
[6] H. Konno,et al. Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market , 1991 .
[7] A. Shorrocks. Ranking Income Distributions , 1983 .
[8] Vijay S. Bawa,et al. Research Bibliography-Stochastic Dominance: A Research Bibliography , 1982 .
[9] F. Sortino,et al. On the Use and Misuse of Downside Risk , 1996 .
[10] W. Sharpe. Mean-Absolute-Deviation Characteristic Lines for Securities and Portfolios , 1971 .
[11] Hiroshi Konno,et al. PIECEWISE LINEAR RISK FUNCTION AND PORTFOLIO OPTIMIZATION , 1990 .
[12] J. L. Nazareth. Computer solution of linear programs , 1987 .
[13] Wlodzimierz Ogryczak,et al. Multiple criteria linear programming model for portfolio selection , 2000, Ann. Oper. Res..
[14] William J. Baumol,et al. An Expected Gain-Confidence Limit Criterion for Portfolio Selection , 1963 .
[15] S. Yitzhaki. Stochastic Dominance, Mean Variance, and Gini's Mean Difference , 1982 .
[16] Leonidas Sakalauskas,et al. Nonlinear stochastic programming by Monte-Carlo estimators , 2002, Eur. J. Oper. Res..
[17] A ZeniosStavros,et al. Mean-absolute deviation portfolio optimization for mortgage-backed securities , 1993 .
[18] H. P. Williams,et al. Model Building in Mathematical Programming , 1979 .
[19] Byung Ha Lim,et al. A Minimax Portfolio Selection Rule with Linear Programming Solution , 1998 .
[20] Yusif Simaan. Estimation risk in portfolio selection: the mean variance model versus the mean absolute deviation model , 1997 .
[21] E. Elton. Modern portfolio theory and investment analysis , 1981 .
[22] Richard C. Larson,et al. Model Building in Mathematical Programming , 1979 .
[23] A. Stuart,et al. Portfolio Selection: Efficient Diversification of Investments. , 1960 .
[24] A. Stuart,et al. Portfolio Selection: Efficient Diversification of Investments , 1959 .
[25] William T. Ziemba,et al. Concepts, Technical Issues, and Uses of the Russell-Yasuda Kasai Financial Planning Model , 1998, Oper. Res..
[26] Maria Grazia Speranza,et al. Heuristic algorithms for the portfolio selection problem with minimum transaction lots , 1999, Eur. J. Oper. Res..
[27] Wojtek Michalowski,et al. A recursive procedure for selecting optimal portfolio according to the MAD model , 1999 .
[28] Philippe Artzner,et al. Coherent Measures of Risk , 1999 .
[29] S. James Press,et al. International Encyclopedia of Statistics , 1978 .
[30] Stavros A. Zenios,et al. Mean-absolute deviation portfolio optimization for mortgage-backed securities , 1993, Ann. Oper. Res..
[31] G.Ch. P ug,et al. Dynamic Asset Allocation under Uncertainty for Pension Fund Management , 1998 .
[32] P. Fishburn. Mean-Risk Analysis with Risk Associated with Below-Target Returns , 1977 .
[33] Wlodzimierz Ogryczak,et al. From stochastic dominance to mean-risk models: Semideviations as risk measures , 1999, Eur. J. Oper. Res..
[34] Yazid M. Sharaiha,et al. Heuristics for cardinality constrained portfolio optimisation , 2000, Comput. Oper. Res..
[35] J. Buckley,et al. Stochastic dominance: an approach to decision making under risk. , 1986, Risk analysis : an official publication of the Society for Risk Analysis.
[36] W. Michalowski,et al. Extending the MAD portfolio optimization model to incorporate downside risk aversion , 2001 .
[37] F. Black,et al. A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options , 1990 .
[38] Hiroshi Konno,et al. Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints , 2001, Math. Program..
[39] A. Roy. SAFETY-FIRST AND HOLDING OF ASSETS , 1952 .
[40] 丸山 徹. Convex Analysisの二,三の進展について , 1977 .
[41] A. Roy. Safety first and the holding of assetts , 1952 .
[42] H. Levy. Stochastic dominance and expected utility: survey and analysis , 1992 .
[43] L. C. Thomas,et al. Model Building in Mathematical Programming (2nd Edition) , 1986 .
[44] Hans Kellerer,et al. Selecting Portfolios with Fixed Costs and Minimum Transaction Lots , 2000, Ann. Oper. Res..
[45] Peter Hernon,et al. International encyclopedia of statistics , 1979 .
[46] Wlodzimierz Ogryczak,et al. Dual Stochastic Dominance and Related Mean-Risk Models , 2002, SIAM J. Optim..