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Found 111 Documents (Results 1–100)

Application of constrained spider monkey optimization to solve portfolio optimization problem. (English) Zbl 1405.91554

Deep, Kusum (ed.) et al., Decision science in action. Theory and applications of modern decision analytic optimisation. Singapore: Springer (ISBN 978-981-13-0859-8/hbk; 978-981-13-0860-4/ebook). Asset Analytics. Performance and Safety Management, 175-191 (2019).
MSC:  91G10 91-04 93E20
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Optimality conditions and numerical methods for a continuous reformulation of cardinality constrained optimization problems. (English) Zbl 1436.90135

Darmstadt: TU Darmstadt, Fachbereich Mathematik (Diss.). ix, 148 p. (2018).
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Fuzzy chance-constrained project portfolio selection model based on credibility theory. (English) Zbl 1356.91082

Wen, Zhenkun (ed.) et al., Foundations of intelligent systems. Proceedings of the eighth international conference on intelligent systems and knowledge engineering, ISKE 2013, Shenzhen, China, November 20–23, 2013. 2 volume set. Berlin: Springer (ISBN 978-3-642-54923-6/pbk). Advances in Intelligent Systems and Computing 277, 731-743 (2014).
MSC:  91G10 90C70 91G70
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Multicriteria portfolio management. (English) Zbl 1283.91002

Springer Optimization and Its Applications 69. New York, NY: Springer (ISBN 978-1-4614-3669-0/hbk; 978-1-4614-3670-6/ebook). ix, 130 p. (2012).
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On investment and minimization of shortfall risk for a diffusion model with jumps and two interest rates via market completion. (Russian, English) Zbl 1224.91138

Teor. Jmovirn. Mat. Stat. 78, 66-73 (2008); translation in Theory Probab. Math. Stat. 78, 75-82 (2009).
MSC:  91G10 60H30 60J75 60G44 91B30 91G40
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Constrained portfolio liquidation in a limit order book model. (English) Zbl 1154.91407

Stettner, Łukasz (ed.), Advances in mathematics of finance. Contributed papers of the 2nd general AMaMeF (advanced mathematical methods of finance) conference and Banach Center conference on advances in mathematics of finance, Bȩdlewo, Poland, April 30–May 5, 2007. Warsaw: Polish Academy of Sciences, Institute of Mathematics. Banach Center Publications 83, 9-25 (2008).
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