A mixed integer programming model for multistage mean-variance post-tax optimization

European Journal of Operational Research

Volumn 185, Issue 2, 2008, Pages 451-480

  Osorio, Maria A ^a   Gulpinar, Nalan ^a   Rustem, Berc ^a  

^a IMPERIAL COLLEGE LONDON   (United Kingdom)

Author keywords

Mean variance portfolio management; Multistage stochastic mixed integer quadratic programming; Post tax optimization

Indexed keywords

COMPUTATIONAL METHODS; MATHEMATICAL MODELS; NONLINEAR ANALYSIS; OPTIMIZATION; RISK ANALYSIS; STOCHASTIC PROGRAMMING; TREES (MATHEMATICS);

MEAN-VARIANCE PORTFOLIO MANAGEMENT; MULTISTAGE STOCHASTIC MIXED INTEGER QUADRATIC PROGRAMMING; POST-TAX OPTIMIZATION;

INTEGER PROGRAMMING;

EID: 34548851133     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2006.09.105     Document Type: Article

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