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A stochastic programming approach for multi-period portfolio optimization

✍ Scribed by Alois Geyer; Michael Hanke; Alex Weissensteiner

Publisher
Springer-Verlag
Year
2008
Tongue
English
Weight
332 KB
Volume
6
Category
Article
ISSN
1619-697X

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πŸ“œ SIMILAR VOLUMES

Fuzzy portfolio optimization a quadratic
Fuzzy portfolio optimization a quadratic programming approach
✍ E. Ammar; H.A. Khalifa πŸ“‚ Article πŸ“… 2003 πŸ› Elsevier Science 🌐 English βš– 126 KB

The topic of this paper is as, the title shows, to introduce the formulation of fuzzy portfolio optimization problem as a convex quadratic programming approach and then give an acceptable solution to such problem. A numerical example included in the support of this paper for illustration.