A New Optimization Methodology for Portfolio Management

Proceedings - SPE Annual Technical Conference and Exhibition

Volumn , Issue , 2003, Pages 2441-2445

  April, J ^a   Glover, F ^a   Kelly, J ^a   Laguna, M ^a  

^a OptTek Systems Inc   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

BUDGET CONTROL; COMPUTER SOFTWARE; CONSTRAINT THEORY; DECISION MAKING; INVESTMENTS; OPTIMIZATION; PLANNING; PROJECT MANAGEMENT; RISK ASSESSMENT;

PORTFOLIO ANALYSIS; PORTFOLIO MANAGEMENT;

PETROLEUM INDUSTRY;

EID: 1142265105     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.2523/84332-ms     Document Type: Conference Paper

References (7)

1. April, J., et al. 2003. "Advanced Optimization Methodology in the Oil and Gas Industry: The Theory of Scatter Search Techniques with Simple Examples," SPE 82009 presented at the SPE HEES, April 2003, Dallas, TX.
2. Fu, M. C. 2002. "Optimization for Simulation: Theory vs. Practice," INFORMS Journal on Computing, vol. 14, no. 3, pp. 192-215.
3. Glover, F., J. Kelly, and M. Laguna. 1999. "New Advances Wedding Simulation and Optimization," in the Proceedings of WSC'99, David Kelton, Ed.
4. Glover, F. and M. Laguna. 1997. Tabu Search, Kluwer Academic Publishers.
5. Glover, F., M. Laguna, and R. Marti. 2000. "Fundamentals of scatter search and path relinking," Control and Cybernetics, Vol. 29, No. 3, 653-684.
6. Kelly, J. 2002. "Simulation Optimization is Evolving," INFORMS Journal on Computing, vol.14, no. 3, pp. 223-225.
7. Markowitz, H. 1952. "Portfolio Selection," The Journal of Finance, vol. VII, no. 1, pp. 77-91.