An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints
نویسندگان
چکیده
منابع مشابه
An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints
In this paper, we study extensions of the classical Markowitz’ mean-variance portfolio optimization model. First, we consider that the expected asset returns are stochastic by introducing a probabilistic constraint imposing that the expected return of the constructed portfolio must exceed a prescribed return level with a high confidence level. We study the deterministic equivalents of these mod...
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ژورنال
عنوان ژورنال: Operations Research
سال: 2009
ISSN: 0030-364X,1526-5463
DOI: 10.1287/opre.1080.0599