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Solving a mixed-integer multiobjective bond portfoliomodel involving logical conditions

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  • R. Pinto
  • B. Rustem

Abstract

This paper presents the application of a logic-based modelling language and integerprogramming framework for multicriteria optimisation proposed by Pinto and Rustem [12]to solve a bond portfolio problem. This application requires the analysis of conflictingobjectives. The relevant information that should be taken into consideration during thesolution search process can be better represented in terms of algebraic and logical relationships.The bond portfolio problem is introduced and the deterministic case is described basedon the model by Nauss [9]. A logic-based model for a fictitious example is given, and finallythe paper illustrates how one can interactively address the multiplicity of objectives. Copyright Kluwer Academic Publishers 1998

Suggested Citation

  • R. Pinto & B. Rustem, 1998. "Solving a mixed-integer multiobjective bond portfoliomodel involving logical conditions," Annals of Operations Research, Springer, vol. 81(0), pages 497-514, June.
    • Handle: RePEc:spr:annopr:v:81:y:1998:i:0:p:497-514:10.1023/a:1018933929995
    DOI: 10.1023/A:1018933929995
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