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Cited by 53
On LP Solvable Models for Portfolio Selection

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
A comprehensive evaluation of constrained mean-expectile portfolios with short selling
Vrinda Dhingra, Amita Sharma, Shiv Kumar Gupta
https://doi.org/10.1007/s10479-024-06224-w
Journal  Annals of Operations Research (2024)
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
Bilevel portfolio optimization with ordered pricing models
Stefano Benati, Marina Leal, Justo Puerto
https://doi.org/10.1016/j.omega.2024.103274
Journal  Omega Volume 133 (2025), p. 103274
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
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
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 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
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
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
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
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 and Transaction Costs
Renata Mansini, Wlodzimierz Ogryczak, M. Grazia Speranza
https://doi.org/10.1002/9781119080305.ch8
Book  (2015), p. 212
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
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
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
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
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
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
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
Robust Co-Optimization of Medium- and Short-Term Electrical Energy and Flexibility in Electricity Clusters
Mariusz Kaleta
https://doi.org/10.3390/en18030479
Journal  Energies Volume 18, Issue 3 (2025), p. 479
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
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
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
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
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
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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