A three stage lexicographic approach for multi-criteria portfolio optimization by mixed integer programming

Przeglad Elektrotechniczny

Volumn 84, Issue 9, 2008, Pages 108-112

  Sawik, Bartosz ^a  

^a AGH UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Poland)

Author keywords

Lexicographic approach; Mixed integer programming; Portfolio optimizaton; Value at risk

Indexed keywords

EID: 51849137948     PISSN: 00332097     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Conference Paper

References (11)

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8. Sawik B., A Weighted-Sum Mixed Integer Program for MultiCriteria Portfolio Optimization. The 21st Conference ot the European Chapter on Combinatorial Optimization (ECCO XXI) Dubrovnik, Croatia, May 29-31, 2008.
9. Sawik B., A Triple-Objective Portfolio Optimization by Mixed Integer Linear Programming. In: Howaniec H., Waszkielewicz W. (eds.) Company management - financial aspects, information - communication and operational, Monographic of ATH University of Bielsko-Biala, Poland, 2008.
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11. Fourer R., Gay D., Kerninghan B., AMPL - A Modeling Programming Language for Mathematical Programming. The Scientific Press Series, USA, 1993.