Sciweavers

JCAM
2011
69views more  JCAM 2011»
13 years 26 days ago
Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection
In this paper we discuss multiperiod portfolio selection problems related to a speci…c provisioning problem. Our results are an extension of Dhaene et al. (2005), where optimal ...
Koen Van Weert, Jan Dhaene, Marc J. Goovaerts
DSS
2000
122views more  DSS 2000»
13 years 9 months ago
Project portfolio selection through decision support
Project portfolio selection is a crucial decision in many organizations, which must make informed decisions on investment, where the appropriate distribution of investment is comp...
Fereidoun Ghasemzadeh, Norman P. Archer
ORL
2008
124views more  ORL 2008»
13 years 10 months ago
Sample average approximation of expected value constrained stochastic programs
We propose a sample average approximation (SAA) method for stochastic programming problems involving an expected value constraint. Such problems arise, for example, in portfolio s...
Wei Wang, Shabbir Ahmed
EOR
2008
70views more  EOR 2008»
13 years 10 months ago
Robust portfolio selection based on a multi-stage scenario tree
The aim of this paper is to apply the concept of robust optimization introduced by Bel-Tal and Nemirovski to the portfolio selection problems based on multi-stage scenario trees. ...
Ruijun Shen, Shuzhong Zhang
GECCO
2006
Springer
143views Optimization» more  GECCO 2006»
14 years 1 months ago
Hybrid search for cardinality constrained portfolio optimization
In this paper, we describe how a genetic algorithm approach added to a simulated annealing (SA) process offers a better alternative to find the mean variance frontier in the portf...
Miguel A. Gomez, Carmen X. Flores, Maria A. Osorio
GECCO
2004
Springer
131views Optimization» more  GECCO 2004»
14 years 3 months ago
Comparing Discrete and Continuous Genotypes on the Constrained Portfolio Selection Problem
In financial engineering the problem of portfolio selection has drawn much attention in the last decades. But still unsolved problems remain, while on the one hand the type of mod...
Felix Streichert, Holger Ulmer, Andreas Zell
CASDMKM
2004
Springer
131views Data Mining» more  CASDMKM 2004»
14 years 3 months ago
XML-Based Schemes for Business Project Portfolio Selection
Abstract. Many methodologies have been introduced to deal with project portfolio selection problem including some techniques that help to evaluate individual projects, or to select...
Jichang Dong, Kin Keung Lai, Shouyang Wang
ICASSP
2008
IEEE
14 years 4 months ago
Universal switching portfolios under transaction costs
In this paper, we consider online (sequential) portfolio selection in a competitive algorithm framework under transaction costs. We construct a sequential algorithm for portfolio ...
Suleyman Serdar Kozat, Andrew C. Singer