The optimal portfolio problem with coherent risk measure constraints
Article Abstract:
The optimal portfolio selection problem is formulated as a linear programming instance, which has exponential number of constraints. This problem can be solved efficiently by an appropriate generation constraint subroutine.
Publisher: Elsevier B.V.
Publication Name: European Journal of Operational Research
Subject: Business, international
ISSN: 0377-2217
Year: 2003
Linear programming
Publication Name: European Journal of Operational Research
Subject: Business, international
ISSN: 0377-2217
Year: 2003
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A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
Article Abstract:
A method for solving the portfolio selection problem, using mixed integer linear programming, is presented.
Publisher: Elsevier B.V.
Publication Name: European Journal of Operational Research
Subject: Business, international
ISSN: 0377-2217
Year: 2007
Europe, Integer programming
Publication Name: European Journal of Operational Research
Subject: Business, international
ISSN: 0377-2217
Year: 2007
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Selecting an optimal portfolio of consumer loans by applying the state preference approach
Article Abstract:
A portfolio selection model for portfolios of consumer loans is presented.
Publisher: Elsevier B.V.
Publication Name: European Journal of Operational Research
Subject: Business, international
ISSN: 0377-2217
Year: 2005
Italy, Mortgage and Nonmortgage Loan Brokers, Consumer Loans, Analysis, Personal loans
Publication Name: European Journal of Operational Research
Subject: Business, international
ISSN: 0377-2217
Year: 2005
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Subjects list: Methods, Usage, Portfolio management
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