A Stochastic-Goal Mixed-Integer Programming approach for integrated stock and bond portfolio optimization

Computers and Industrial Engineering

Volumn 61, Issue 4, 2011, Pages 1285-1295

  Stoyan, Stephen J ^a   Kwon, Roy H ^b  

^a University of Southern California   (United States)

^b UNIVERSITY OF TORONTO   (Canada)

Author keywords

Geographical decomposition; Goal Programming; Mixed Integer Programming; Stochastic Programming

Indexed keywords

ASSET PRICES; COMPUTATIONAL RESULTS; CONSTRAINT VIOLATION; CPU TIME; GEOGRAPHICAL DECOMPOSITION; GOAL PROGRAMMING; ITERATIVE PROCEDURES; LARGE-SCALE PROBLEM; MARKET PERFORMANCE; MIXED-INTEGER PROGRAMMING; OPTIMAL SOLUTIONS; PORTFOLIO MODEL; PORTFOLIO OPTIMIZATION; RETURN VALUE; TEST CASE;

ALGORITHMS; FINANCIAL DATA PROCESSING; INVESTMENTS; OPTIMIZATION; STOCHASTIC SYSTEMS;

INTEGER PROGRAMMING;

EID: 80054943979     PISSN: 03608352     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.cie.2011.07.022     Document Type: Article

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