On LP Solvable Models for Portfolio Selection

doi:10.15388/Informatica.2003.003

On Fuzzy Driven Support for SD-Efficient Portfolio Selection

Włodzimierz Ogryczak, Andrzej Romaszkiewicz

https://doi.org/10.1007/978-3-540-71618-1_64

Book: Lecture Notes in Computer Science (Adaptive and Natural Computing Algorithms) Volume 4431 (2007), p. 578

Conditional Value-at-Risk Vs. Value-at-Risk to Multi-Objective Portfolio Optimization

Bartosz T. Sawik

https://doi.org/10.1108/S0276-8976(2012)0000015016

Book: Applications of Management Science (Applications of Management Science) (2012), p. 277

Theoretical Framework

Renata Mansini, Włodzimierz Ogryczak, M. Grazia Speranza

https://doi.org/10.1007/978-3-319-18482-1_6

Book: EURO Advanced Tutorials on Operational Research (Linear and Mixed Integer Programming for Portfolio Optimization) (2015), p. 87

Portfolio Optimization

Renata Mansini, Włodzimierz Ogryczak, M. Grazia Speranza

https://doi.org/10.1007/978-3-319-18482-1_1

Book: EURO Advanced Tutorials on Operational Research (Linear and Mixed Integer Programming for Portfolio Optimization) (2015), p. 1

Portfolio Optimization with Other Real Features

Renata Mansini, Włodzimierz Ogryczak, M. Grazia Speranza

https://doi.org/10.1007/978-3-319-18482-1_4

Book: EURO Advanced Tutorials on Operational Research (Linear and Mixed Integer Programming for Portfolio Optimization) (2015), p. 63

Robust Decisions under Risk for Imprecise Probabilities

Włodzimierz Ogryczak

https://doi.org/10.1007/978-3-642-22884-1_3

Book: Lecture Notes in Economics and Mathematical Systems (Managing Safety of Heterogeneous Systems) Volume 658 (2012), p. 51

On efficient optimisation of the CVaR and related LP computable risk measures for portfolio selection

Włodzimierz Ogryczak, Tomasz Śliwiński

https://doi.org/10.1007/978-88-470-1481-7_25

Book: (2010), p. 245

Linear Models for Portfolio Optimization

Renata Mansini, Włodzimierz Ogryczak, M. Grazia Speranza

https://doi.org/10.1007/978-3-319-18482-1_2

Book: EURO Advanced Tutorials on Operational Research (Linear and Mixed Integer Programming for Portfolio Optimization) (2015), p. 19

Proceedings of the International Multiconference on Computer Science and Information Technology

W Ogryczak, T Sliwinski

https://doi.org/10.1109/IMCSIT.2010.5679952

Conference: (2010), p. 901

Computational Issues

Renata Mansini, Włodzimierz Ogryczak, M. Grazia Speranza

https://doi.org/10.1007/978-3-319-18482-1_7

Book: EURO Advanced Tutorials on Operational Research (Linear and Mixed Integer Programming for Portfolio Optimization) (2015), p. 97

Survey of multi-objective portfolio optimization by linear and mixed integer programming

Bartosz Sawik

https://doi.org/10.1108/S0276-8976(2013)0000016007

Book: Applications of Management Science (Applications of Management Science) Volume 16 (2013), p. 55

Rebalancing and Index Tracking

Renata Mansini, Włodzimierz Ogryczak, M. Grazia Speranza

https://doi.org/10.1007/978-3-319-18482-1_5

Book: EURO Advanced Tutorials on Operational Research (Linear and Mixed Integer Programming for Portfolio Optimization) (2015), p. 73

Portfolio Optimization and Transaction Costs

Renata Mansini, Wlodzimierz Ogryczak, M. Grazia Speranza

https://doi.org/10.1002/9781119080305.ch8

Book: (2015), p. 212

Portfolio Optimization with Transaction Costs

Renata Mansini, Włodzimierz Ogryczak, M. Grazia Speranza

https://doi.org/10.1007/978-3-319-18482-1_3

Book: EURO Advanced Tutorials on Operational Research (Linear and Mixed Integer Programming for Portfolio Optimization) (2015), p. 47

A Communication Theoretic Interpretation of Modern Portfolio Theory Including Short Sales, Leverage and Transaction Costs

Giorgio Arici, Marco Dalai, Riccardo Leonardi, Arnaldo Spalvieri

https://doi.org/10.3390/jrfm12010004

Journal: Journal of Risk and Financial Management Volume 12, Issue 1 (2018), p. 4

A Linearization of the Portfolio Optimization Problem with General Risk Measures Under Multivariate Conditional Heteroskedastic Models

Shih‐Feng Huang, Tze‐Yun Lin

https://doi.org/10.1111/ajfs.12218

Journal: Asia-Pacific Journal of Financial Studies Volume 47, Issue 3 (2018), p. 449

An exact approach for portfolio selection with transaction costs and rounds

Renata Mansini, M. Speranza

https://doi.org/10.1080/07408170591007821

Journal: IIE Transactions Volume 37, Issue 10 (2005), p. 919

An interactive approach to stochastic programming-based portfolio optimization

Murat Köksalan, Ceren Tuncer Şakar

https://doi.org/10.1007/s10479-014-1719-y

Journal: Annals of Operations Research Volume 245, Issue 1-2 (2016), p. 47

Conditional value at risk and related linear programming models for portfolio optimization

Renata Mansini, Włodzimierz Ogryczak, M. Grazia Speranza

https://doi.org/10.1007/s10479-006-0142-4

Journal: Annals of Operations Research Volume 152, Issue 1 (2007), p. 227

Dotted Representations of Mean-Variance Efficient Frontiers and their Computation

Yue Qi, Markus Hirschberger, Ralph E. Steuer

https://doi.org/10.3138/infor.47.1.15

Journal: INFOR: Information Systems and Operational Research Volume 47, Issue 1 (2009), p. 15

Dynamic changes and multi-dimensional evolution of portfolio optimization

Wei Zhou, Wenqiang Zhu, Yan Chen, Jin Chen

https://doi.org/10.1080/1331677X.2021.1968308

Journal: Economic Research-Ekonomska Istraživanja Volume 35, Issue 1 (2022), p. 1431

EFFECTS OF MULTIPLE CRITERIA ON PORTFOLIO OPTIMIZATION

TUNCER ŞAKAR CEREN, MURAT KÖKSALAN

https://doi.org/10.1142/S0219622014500047

Journal: International Journal of Information Technology & Decision Making Volume 13, Issue 01 (2014), p. 77

Efficient optimization of the reward-risk ratio with polyhedral risk measures

Wlodzimierz Ogryczak, Michał Przyłuski, Tomasz Śliwiński

https://doi.org/10.1007/s00186-017-0613-1

Journal: Mathematical Methods of Operations Research Volume 86, Issue 3 (2017), p. 625

Enhanced index tracking with CVaR-based ratio measures

Gianfranco Guastaroba, Renata Mansini, Wlodzimierz Ogryczak, M. Grazia Speranza

https://doi.org/10.1007/s10479-020-03518-7

Journal: Annals of Operations Research Volume 292, Issue 2 (2020), p. 883

Factor neutral portfolios

C. A. Valle, N. Meade, J. E. Beasley

https://doi.org/10.1007/s00291-015-0392-0

Journal: OR Spectrum Volume 37, Issue 4 (2015), p. 843

Global optimization for bilevel portfolio design: Economic insights from the Dow Jones index

Julio González-Díaz, Brais González-Rodríguez, Marina Leal, Justo Puerto

https://doi.org/10.1016/j.omega.2020.102353

Journal: Omega Volume 102 (2021), p. 102353

Group sparse enhanced indexation model with adaptive beta value

Fengmin Xu, Jieao Ma, Haibing Lu

https://doi.org/10.1080/14697688.2022.2092542

Journal: Quantitative Finance Volume 22, Issue 10 (2022), p. 1905

Large-scale MV efficient frontier computation via a procedure of parametric quadratic programming

Markus Hirschberger, Yue Qi, Ralph E. Steuer

https://doi.org/10.1016/j.ejor.2009.11.016

Journal: European Journal of Operational Research Volume 204, Issue 3 (2010), p. 581

Linear programing models for portfolio optimization using a benchmark

Seyoung Park, Hyunson Song, Sungchul Lee

https://doi.org/10.1080/1351847X.2018.1536070

Journal: The European Journal of Finance Volume 25, Issue 5 (2019), p. 435

Linear programming models based on Omega ratio for the Enhanced Index Tracking Problem

G. Guastaroba, R. Mansini, W. Ogryczak, M.G. Speranza

https://doi.org/10.1016/j.ejor.2015.11.037

Journal: European Journal of Operational Research Volume 251, Issue 3 (2016), p. 938

Mixed value-at-risk and its numerical investigation

Anubha Goel, Amita Sharma

https://doi.org/10.1016/j.physa.2019.123524

Journal: Physica A: Statistical Mechanics and its Applications Volume 541 (2020), p. 123524

Multi-Objective Portfolio Optimization by Mixed Integer Programming

Bartosz Sawik

https://doi.org/10.2139/ssrn.2799940

Journal: SSRN Electronic Journal (2011)

ON DUAL APPROACHES TO EFFICIENT OPTIMIZATION OF LP COMPUTABLE RISK MEASURES FOR PORTFOLIO SELECTION

WŁODZIMIERZ OGRYCZAK, TOMASZ ŚLIWIŃSKI

https://doi.org/10.1142/S0217595911003041

Journal: Asia-Pacific Journal of Operational Research Volume 28, Issue 01 (2011), p. 41

OWA Portfolio Optimization: a Disciplined Convex Programming Framework

Dany Cajas

https://doi.org/10.2139/ssrn.3988927

Journal: SSRN Electronic Journal (2021)

Omega-CVaR Portfolio Optimization and Its Worst Case Analysis

Amita Sharma, Sebastian Utz, Aparna Mehra

https://doi.org/10.2139/ssrn.2714945

Journal: SSRN Electronic Journal (2016)

Omega-CVaR portfolio optimization and its worst case analysis

Amita Sharma, Sebastian Utz, Aparna Mehra

https://doi.org/10.1007/s00291-016-0462-y

Journal: OR Spectrum Volume 39, Issue 2 (2017), p. 505

Portfolio construction on the Athens Stock Exchange: a multiobjective optimization approach

Panagiotis Xidonas, George Mavrotas, John Psarras

https://doi.org/10.1080/02331930903085375

Journal: Optimization Volume 59, Issue 8 (2010), p. 1211

Portfolio problems with two levels decision-makers: Optimal portfolio selection with pricing decisions on transaction costs

Marina Leal, Diego Ponce, Justo Puerto

https://doi.org/10.1016/j.ejor.2019.12.039

Journal: European Journal of Operational Research Volume 284, Issue 2 (2020), p. 712

Portfolio selection with a minimax measure in safety constraint

Amita Sharma, Aparna Mehra

https://doi.org/10.1080/02331934.2013.854361

Journal: Optimization Volume 62, Issue 11 (2013), p. 1473

Portfolio selection with skewness: A comparison of methods and a generalized one fund result

Walter Briec, Kristiaan Kerstens, Ignace Van de Woestyne

https://doi.org/10.1016/j.ejor.2013.04.021

Journal: European Journal of Operational Research Volume 230, Issue 2 (2013), p. 412

Portfolio selection: A linear approach with dual expected utility

M. Cenci, F. Filippini

https://doi.org/10.1016/j.amc.2005.11.141

Journal: Applied Mathematics and Computation Volume 179, Issue 2 (2006), p. 523

Properties, formulations, and algorithms for portfolio optimization using Mean-Gini criteria

Ran Ji, Miguel A. Lejeune, Srinivas Y. Prasad

https://doi.org/10.1007/s10479-016-2230-4

Journal: Annals of Operations Research Volume 248, Issue 1-2 (2017), p. 305

Risk management strategies via minimax portfolio optimization

George G. Polak, David F. Rogers, Dennis J. Sweeney

https://doi.org/10.1016/j.ejor.2010.04.025

Journal: European Journal of Operational Research Volume 207, Issue 1 (2010), p. 409

Risk-adjusted probability measures in portfolio optimization with coherent measures of risk

Naomi Miller, Andrzej Ruszczyński

https://doi.org/10.1016/j.ejor.2007.06.052

Journal: European Journal of Operational Research Volume 191, Issue 1 (2008), p. 193

Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection

Ralph E. Steuer, Yue Qi, Markus Hirschberger

https://doi.org/10.1007/s10479-006-0137-1

Journal: Annals of Operations Research Volume 152, Issue 1 (2007), p. 297

Tail mean and related robust solution concepts

Włodzimierz Ogryczak

https://doi.org/10.1080/00207721.2012.669868

Journal: International Journal of Systems Science Volume 45, Issue 1 (2014), p. 29

The optimal portfolio problem with coherent risk measure constraints

Stefano Benati

https://doi.org/10.1016/S0377-2217(02)00785-3

Journal: European Journal of Operational Research Volume 150, Issue 3 (2003), p. 572

Twenty years of linear programming based portfolio optimization

Renata Mansini, Wlodzimierz Ogryczak, M. Grazia Speranza

https://doi.org/10.1016/j.ejor.2013.08.035

Journal: European Journal of Operational Research Volume 234, Issue 2 (2014), p. 518

Worst-case analysis of Omega-VaR ratio optimization model

Ruchika Sehgal, Amita Sharma, Renata Mansini

https://doi.org/10.1016/j.omega.2022.102730

Journal: Omega Volume 114 (2023), p. 102730

Worst-case robust Omega ratio

Michalis Kapsos, Nicos Christofides, Berç Rustem

https://doi.org/10.1016/j.ejor.2013.04.025

Journal: European Journal of Operational Research Volume 234, Issue 2 (2014), p. 499

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