Decomposition and search techniques in disjunctive programs for portfolio selection (Q2725593)
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scientific article; zbMATH DE number 1619446
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Decomposition and search techniques in disjunctive programs for portfolio selection |
scientific article; zbMATH DE number 1619446 |
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20 June 2002
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disjunctive programs
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portfolio selection
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absolute deviation trade-off model
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Decomposition and search techniques in disjunctive programs for portfolio selection (English)
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A fixed-income portfolio selection problem is formulated as a disjunctive program, where the desired portfolio is described by means of logical disjunctions. A main feature of the algorithm for decomposing the resulting large linear programs is that variable decomposition of the linear programs is combined with branch and bound search among the disjunctive sets that describe the desired portfolio.NEWLINENEWLINEFor the entire collection see [Zbl 0958.00019].
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0.735909104347229
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0.7352988123893738
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0.7138209939002991
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