An Efficient Interior-Point Method for Convex Multicriteria Optimization Problems
Mathematics of Operations Research
Downside Loss Aversion and Portfolio Management
Management Science
Tracking a Financial Benchmark Using a Few Assets
Operations Research
A Risk-Minimizing Model Under Uncertainty in Portfolio
IFSA '07 Proceedings of the 12th international Fuzzy Systems Association world congress on Foundations of Fuzzy Logic and Soft Computing
Multi-period portfolio optimization with linear control policies
Automatica (Journal of IFAC)
A generalized multi-period mean-variance portfolio optimization with Markov switching parameters
Automatica (Journal of IFAC)
Risk management in uncapacitated facility location models with random demands
Computers and Operations Research
Global optimization of higher order moments in portfolio selection
Journal of Global Optimization
Models and Simulations for Portfolio Rebalancing
Computational Economics
An estimation model of value-at-risk portfolio under uncertainty
Fuzzy Sets and Systems
Bilevel decision via variational inequalities
Computers & Mathematics with Applications
Algorithmic Aspects of Scenario-Based Multi-stage Decision Process Optimization
ADT '09 Proceedings of the 1st International Conference on Algorithmic Decision Theory
A Perception-Based Portfolio Under Uncertainty: Minimization of Average Rates of Falling
MDAI '09 Proceedings of the 6th International Conference on Modeling Decisions for Artificial Intelligence
Multiobjective random fuzzy portfolio selection problems based on CAPM
SMC'09 Proceedings of the 2009 IEEE international conference on Systems, Man and Cybernetics
Dynamic mean semi-variance portfolio selection
ICCS'03 Proceedings of the 1st international conference on Computational science: PartI
Portfolio selection problems with normal mixture distributions including fuzziness
International Journal of Knowledge Engineering and Soft Data Paradigms
Particle Swarm Optimization (PSO) for the constrained portfolio optimization problem
Expert Systems with Applications: An International Journal
A dynamic value-at-risk portfolio model
MDAI'11 Proceedings of the 8th international conference on Modeling decisions for artificial intelligence
Direct solution of linear systems of size 109 arising in optimization with interior point methods
PPAM'05 Proceedings of the 6th international conference on Parallel Processing and Applied Mathematics
Parallel hierarchical methods for complex systems optimization
ICCSA'06 Proceedings of the 6th international conference on Computational Science and Its Applications - Volume Part I
Automatica (Journal of IFAC)
Global optimization of the scenario generation and portfolio selection problems
ICCSA'06 Proceedings of the 2006 international conference on Computational Science and Its Applications - Volume Part III
Evolutionary multi-stage financial scenario tree generation
EvoCOMNET'10 Proceedings of the 2010 international conference on Applications of Evolutionary Computation - Volume Part II
On a nonseparable convex maximization problem with continuous knapsack constraints
Operations Research Letters
Multi-period portfolio selection using kernel-based control policy with dimensionality reduction
Expert Systems with Applications: An International Journal
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Mean-variance portfolio analysis provided the first quantitative treatment of the tradeoff between profit and risk. We describe in detail the interplay between objective and constraints in a number of single-period variants, including semivariance models. Particular emphasis is laid on avoiding the penalization of overperformance. The results are then used as building blocks in the development and theoretical analysis of multiperiod models based on scenario trees. A key property is the possibility of removing surplus money in future decisions, yielding approximate downside risk minimization.