Applications of Global Optimization to Portfolio Analysis

DOI10.1007/0-387-25570-2_7zbMath1136.90441OpenAlexW140394675MaRDI QIDQ5421804

Hiroshi Konno

Publication date: 24 October 2007

Published in: Essays and Surveys in Global Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/0-387-25570-2_7

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Nonconvex programming, global optimization (90C26)

Related Items (3)

Long-short portfolio optimization under cardinality constraints by difference of convex functions algorithm ⋮ DC programming approach for portfolio optimization under step increasing transaction costs ⋮ Global optimization of higher order moments in portfolio selection

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