JCAM
2011
13 years 1 months ago
2011
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 ...
DSS
2000
13 years 10 months ago
2000
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...
ORL
2008
13 years 11 months ago
2008
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...
EOR
2008
13 years 11 months ago
2008
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. ...
GECCO
2006
Springer
14 years 2 months ago
2006
Springer
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...
GECCO
2004
Springer
14 years 4 months ago
2004
Springer
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...
CASDMKM
2004
Springer
14 years 4 months ago
2004
Springer
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...
ICASSP
2008
IEEE
14 years 5 months ago
2008
IEEE
In this paper, we consider online (sequential) portfolio selection in a competitive algorithm framework under transaction costs. We construct a sequential algorithm for portfolio ...