linear programming model

35

EOR
2007

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Linear programming based algorithms for preemptive and non-preemptive RCPSP

13 years 11 months ago

: In this paper, the RCPSP (Resource Constrained Project Scheduling Problem) is solved using a linear programming model. Each activity may or may not be preemptive. Each variable i...

Jean Damay, Alain Quilliot, Eric Sanlaville

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32

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EOR
2006

94views more EOR 2006»

Portfolio rebalancing model with transaction costs based on fuzzy decision theory

13 years 11 months ago

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The fuzzy set is one of the powerful tools used to describe an uncertain environment. As well as quantifying any potential return and risk, portfolio liquidity is taken into accou...

Yong Fang, K. K. Lai, Shouyang Wang

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27

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AMC
2008

130views more AMC 2008»

Hedging strategy for a portfolio of options and stocks with linear programming

13 years 11 months ago

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This paper extends the model proposed by Papahristodoulou [C. Papahristodoulou, Option strategies with linear programming, European Journal of Operational Research 157 (2004) 246

Mehmet Horasanli

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