Szczegóły publikacji
Opis bibliograficzny
Survey of multi-objective portfolio optimization by linear and mixed integer programming / Bartosz SAWIK // W: Applications of Management Science / eds. Kenneth D. Lawrence, Gary Kleinman. — United Kingdom [etc.] : Emerald Group Publishing Limited, cop. 2013. — (Applications of Management Science ; ISSN 0276-8976 ; vol. 16). — ISBN: 978-1-78190-956-0. — S. 55–79. — Bibliogr. s. 73–79, Abstr.
Autor
Słowa kluczowe
Dane bibliometryczne
| ID BaDAP | 79440 |
|---|---|
| Data dodania do BaDAP | 2014-01-29 |
| DOI | 10.1108/S0276-8976(2013)0000016007 |
| Rok publikacji | 2013 |
| Typ publikacji | fragment książki |
| Otwarty dostęp |  |
| Czasopismo/seria | Applications of Management Science |
Abstract
This chapter presents the survey of selected linear and mixed integer programming multi-objective portfolio optimization. The definitions of selected percentile risk measures are presented. Some contrasts and similarities of the different types of portfolio formulations are drawn out. The survey of multi-criteria methods devoted to portfolio optimization such as weighting approach, lexicographic approach, and reference point method is also presented. This survey presents the nature of the multi-objective portfolio problems focuses on a compromise between the construction of objectives, constraints, and decision variables in a portfolio and the problem complexity of the implemented mathematical models. There is always a trade-off between computational time and the size of an input data, as well as the type of mathematical programming formulation with linear and/or mixed integer variables. Copyright © 2013 by Emerald Group Publishing Limited.
