Optimal deviations from an asset allocation.

DOI10.1016/S0305-0548(02)00097-7zbMath1105.90322MaRDI QIDQ1422358

James E. Falk, Ekaterina M. Gratcheva

Publication date: 14 February 2004

Published in: Computers \& Operations Research (Search for Journal in Brave)

zbMATH Keywords

Asset allocationNon-convex optimizationFinancial modelingInfinitely constrained programming

Mathematics Subject Classification ID

Nonconvex programming, global optimization (90C26) Management decision making, including multiple objectives (90B50)

Cites Work

• Stochastic network optimization models for investment planning
• Infinitely constrained optimization problems
• Strategic financial risk management and operations research
• Solving long-term financial planning problems via global optimization
• An Algorithm for Separable Nonconvex Programming Problems
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