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Large-Scale Portfolio Optimization
Management Science, 1984This paper describes a practical algorithm for large-scale mean-variance portfolio optimization. The emphasis is on developing an efficient computational approach applicable to the broad range of portfolio models employed by the investment community. What distinguishes these from the “usual” quadratic program is (i) the form of the covariance matrix ...
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Evolutionary Stochastic Portfolio Optimization
2008In this chapter, the concept of evolutionary stochastic portfolio optimization is discussed. Selected theory from the fields of Stochastic Programming, evolutionary computation, portfolio optimization, as well as financial risk management is used to derive a generalized framework for computing optimal financial portfolios given an uncertain future ...
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Archives of Computational Methods in Engineering, 2020
Ankit Thakkar, Kinjal Chaudhari
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Ankit Thakkar, Kinjal Chaudhari
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Robust portfolio optimization: a categorized bibliographic review
Annals of Operations Research, 2020P. Xidonas, Ralph E. Steuer, C. Hassapis
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Incorporating environmental and social considerations into the portfolio optimization process
Annals of Operations Research, 2020K. Liagkouras +2 more
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