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MINLP models for portfolio selection

2015
Starting with the seminal work by Markowitz, a large number of optimization models have been proposed to find an ideal allocation of capital among several available assets to achieve the investor’s objectives. Here we propose a new framework for portfolio selection that explicitly takes into account assets selection, risk diversification and utility ...
CESARONE, FRANCESCO   +2 more
openaire   +1 more source

NLP-Techniken für MINLPs

2019
Lars Schewe, Martin Schmidt
openaire   +1 more source

Global optimization advances in Mixed-Integer Nonlinear Programming, MINLP, and Constrained Derivative-Free Optimization, CDFO

European Journal of Operational Research, 2016
Fani Boukouvala   +2 more
exaly  

MINLP: Application in Facility Location-allocation

2001
Marianthi Ierapetritou   +1 more
openaire   +1 more source

A review and comparison of solvers for convex MINLP

Optimization and Engineering, 2018
Jan Kronqvist   +2 more
exaly  

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