Financial portfolio optimisation

Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)

Volumn 3258, Issue , 2004, Pages 227-241

  Flener, Pierre ^a   Pearson, Justin ^a   Reyna, Luis G ^b  

^a UPPSALA UNIVERSITY   (Sweden)

^b Merrill Lynch   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

COMPUTER PROGRAMMING; CONSTRAINT THEORY;

APPROXIMATE SOLUTION; BALANCED INCOMPLETE BLOCK DESIGN; CREDIT DERIVATIVES; FINANCIAL MATHEMATICS; FINANCIAL PORTFOLIO; PORTFOLIO OPTIMISATION; RATING AGENCIES; SATISFACTION PROBLEM;

CONSTRAINT SATISFACTION PROBLEMS;

EID: 33646192527     PISSN: 03029743     EISSN: 16113349     Source Type: Book Series    
DOI: 10.1007/978-3-540-30201-8_19     Document Type: Article

References (13)

1. C. J. Colbourn and J. H. Dinitz, editors. The CRC Handbook of Combinatorial Designs. CRC Press, 1996.
2. K. Corrádi. Problem at Schweitzer competition. Mat. Lapok, 20:159-162, 1969.
3. J. M. Crawford, M. Dalal, and J. P. Walser. Abstract local search. In Proceedings of the AIPS'98 Workshop on Planning as Combinatorial Search, 1998.
4. J. M. Crawford, M. Ginsberg, E. Luks, and A. Roy. Symmetry-breaking predicates for search problems. In Proceedings of KR '96, pages 148-159, 1996.
5. S. Das and G. Geng. Correlated default processes: A criterion-based copula approach. Journal of Investment Management, forthcoming.
6. T. Fahle, S. Schamberger, and M. Sellmann. Symmetry breaking. In T. Walsh, editor, Proc. of CP'01, volume 2293 of LNCS, pages 93-107. Springer-Verlag, 2001.
7. P. Flener, A. M. Frisch, B. Hnich, Z. Kiziltan, I. Miguel, J. Pearson, and T. Walsh. Breaking row and column symmetries in matrix models. In P. Van Hentenryck, editor, Proc. of CP'02, vol. 2470 of LNCS, pages 462-476. Springer-Verlag, 2002.
8. P. Flener and J. Pearson. Breaking all the symmetries in matrix models: Results, conjectures, and directions. In Proceedings of SymCon'02, 2002. Available at http://www.it.uu.se/research/group/astra/SymCon02/.
9. K. Gilkes and M. Drexler. Drill-down approach for synthetic CDO Squared transactions. Standard and Poor's Publication, December 2003.
10. S. Jukna. Extremal Combinatorics. Springer-Verlag, 2001.
11. P. Meseguer and M. Sànchez. Tree-based Russian Doll Search: Preliminary results. In F. Rossi, editor, Proceedings of the CP'00 Workshop on Soft Constraints, 2000.
12. J.-F. Puget. Symmetry breaking using stabilizers. In F. Rossi, editor, Proceedings of CP'03, volume 2833 of LNCS, pages 585-599. Springer-Verlag, 2003.
13. G. Wetzel and F. Zabatta. A constraint programming approach to portfolio selection. In Proceedings of ECAI'98, pages 263-264, 1998.