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Solving non-linear portfolio optimization problems with the primal-dual interior point method
12 references·0 citing·43 second hop
Solving non-linear portfolio optimization problems with the primal-dual interior point method (2006)Solving non-linear portfolio optimization…A Heuristic for Moment-Matching Scenario Generation (2003)A Heuristic for Moment-Matchi…Dual Stochastic Dominance and Related Mean-Risk Models (2002)Dual Stochastic Dominance and…Stochastic Optimization: Algorithms and Applications (2001)Stochastic Optimization: Algo…On consistency of stochastic dominance and mean–semideviation models (2001)On consistency of stochastic …Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Markowitz Revisited: Mean-Var…High-Performance Computing for Asset-Liability Management (2001)High-Performance Computing fo…Worldwide asset and liability modeling (1998)Worldwide asset and liability…A MEAN-VARIANCE-SKEWNESS PORTFOLIO OPTIMIZATION MODEL (1995)A MEAN-VARIANCE-SKEWNESS PORT…A mean-absolute deviation-skewness portfolio optimization model (1993)A mean-absolute deviation-ske…Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs (1985)Decomposition and Partitionin…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Simulating Multivariate Nonnormal Distributions (1983)Generating Scenario Trees for Multistage Decision Problems (2001)Scenario tree modeling for multistage stochastic programs (2007)Correlation control in small-sample Monte Carlo type simulations I: A simulated annealing approach (2009)Monte Carlo sampling-based methods for stochastic optimization (2014)The Efficiency Analysis of Choices Involving Risk (1969)Mean-Risk Analysis with Risk Associated with Below-Target Returns (1975)Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market (1991)Portfolio optimization with stochastic dominance constraints (2005)Conditional Risk Mappings (2006)Conditional value at risk and related linear programming models for portfolio optimization (2006)Liquidity Preference as Behavior Towards Risk (1958)Optimum consumption and portfolio rules in a continuous-time model (1971)Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection (2006)Genetic algorithms for portfolio selection problems with minimum transaction lots (2007)Coherent Measures of Risk (1999)Optimization of conditional value-at-risk (2000)Stochastic Programming Models (2003)Optimization of Convex Risk Functions (2006)Risk-averse two-stage stochastic programming with an application to disaster management (2011)American Economic Review (2019)Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse (1991)Scenarios for Multistage Stochastic Programs (2000)Linear Programming Under Uncertainty (2004)Stochastic Linear Programming (2010)The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Optimization Methods in Finance (2006)Robust portfolios: contributions from operations research and finance (2009)Particle Swarm Optimization (PSO) for the constrained portfolio optimization problem (2011)Credit risk optimization with Conditional Value-at-Risk criterion (2001)DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION (2005)Multi-objective stochastic programming for portfolio selection (2005)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)Managing financial risk in planning under uncertainty (2004)Selecting balanced portfolios of R&D projects with interdependencies: A Cross-Entropy based methodology (2013)Farmer risk-aversion limits closure of yield and profit gaps: A study of nitrogen management in the southern Australian wheatbelt (2015)
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References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1985Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs588 cited
  • 2002Dual Stochastic Dominance and Related Mean-Risk Models496 cited
  • 2003A Heuristic for Moment-Matching Scenario Generation404 cited
  • 2001Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis382 cited
  • 1998Worldwide asset and liability modeling370 cited
  • 2001On consistency of stochastic dominance and mean–semideviation models257 cited
  • 1993A mean-absolute deviation-skewness portfolio optimization model252 cited
  • 2001Stochastic Optimization: Algorithms and Applications198 cited
  • 1995A MEAN-VARIANCE-SKEWNESS PORTFOLIO OPTIMIZATION MODEL193 cited
  • 2001High-Performance Computing for Asset-Liability Management108 cited

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