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Twenty years of linear programming based portfolio optimization

Citations

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Cited by:

  1. Barbara Glensk & Reinhard Madlener, 2018. "Fuzzy Portfolio Optimization of Power Generation Assets," Energies, MDPI, vol. 11(11), pages 1-22, November.
  2. Ricca, Federica & Scozzari, Andrea, 2024. "Portfolio optimization through a network approach: Network assortative mixing and portfolio diversification," European Journal of Operational Research, Elsevier, vol. 312(2), pages 700-717.
  3. Sarunas Raudys & Aistis Raudys & Zidrina Pabarskaite, 2018. "Dynamically Controlled Length of Training Data for Sustainable Portfolio Selection," Sustainability, MDPI, vol. 10(6), pages 1-14, June.
  4. Panos Xidonas & Ralph Steuer & Christis Hassapis, 2020. "Robust portfolio optimization: a categorized bibliographic review," Annals of Operations Research, Springer, vol. 292(1), pages 533-552, September.
  5. Cristiano Arbex Valle, 2024. "Portfolio optimisation: bridging the gap between theory and practice," Papers 2407.00887, arXiv.org, revised Sep 2024.
  6. Antonios Georgantas & Michalis Doumpos & Constantin Zopounidis, 2024. "Robust optimization approaches for portfolio selection: a comparative analysis," Annals of Operations Research, Springer, vol. 339(3), pages 1205-1221, August.
  7. Kerstens, Kristiaan & Mazza, Paolo & Ren, Tiantian & Van de Woestyne, Ignace, 2022. "Multi-Time and Multi-Moment Nonparametric Frontier-Based Fund Rating: Proposal and Buy-and-Hold Backtesting Strategy," Omega, Elsevier, vol. 113(C).
  8. Doering, Jana & Kizys, Renatas & Juan, Angel A. & Fitó, Àngels & Polat, Onur, 2019. "Metaheuristics for rich portfolio optimisation and risk management: Current state and future trends," Operations Research Perspectives, Elsevier, vol. 6(C).
  9. Jakobsons Edgars, 2016. "Scenario aggregation method for portfolio expectile optimization," Statistics & Risk Modeling, De Gruyter, vol. 33(1-2), pages 51-65, September.
  10. González-Díaz, Julio & González-Rodríguez, Brais & Leal, Marina & Puerto, Justo, 2021. "Global optimization for bilevel portfolio design: Economic insights from the Dow Jones index," Omega, Elsevier, vol. 102(C).
  11. Rosadi, Dedi & Setiawan, Ezra Putranda & Templ, Matthias & Filzmoser, Peter, 2020. "Robust covariance estimators for mean-variance portfolio optimization with transaction lots," Operations Research Perspectives, Elsevier, vol. 7(C).
  12. Pätäri, Eero & Karell, Ville & Luukka, Pasi & Yeomans, Julian S, 2018. "Comparison of the multicriteria decision-making methods for equity portfolio selection: The U.S. evidence," European Journal of Operational Research, Elsevier, vol. 265(2), pages 655-672.
  13. Jafarzadeh, M. & Tareghian, H.R. & Rahbarnia, F. & Ghanbari, R., 2015. "Optimal selection of project portfolios using reinvestment strategy within a flexible time horizon," European Journal of Operational Research, Elsevier, vol. 243(2), pages 658-664.
  14. Amit Bhaya & Eugenius Kaszkurewicz & Leonardo Valente Ferreira, 2024. "A Dynamic Trading Model for Use with a One Step Ahead Optimal Strategy," Computational Economics, Springer;Society for Computational Economics, vol. 63(4), pages 1575-1608, April.
  15. Burgher, Joshua & Hamers, Herbert, 2017. "A Quantitative Optimization Framework for Market-Driven Academic Program Portfolios," Other publications TiSEM e0782c5b-c2ad-443d-b0ad-9, Tilburg University, School of Economics and Management.
  16. Juan F. Monge & Mercedes Landete & Jos'e L. Ruiz, 2016. "Sharpe portfolio using a cross-efficiency evaluation," Papers 1610.00937, arXiv.org, revised Oct 2016.
  17. Diana Barro & Elio Canestrelli & Fabio Lanza, 2014. "Volatility vs. downside risk: optimally protecting against drawdowns and maintaining portfolio performance," Working Papers 2014:18, Department of Economics, University of Venice "Ca' Foscari".
  18. P. Kumar & Jyotirmayee Behera & A. K. Bhurjee, 2022. "Solving mean-VaR portfolio selection model with interval-typed random parameter using interval analysis," OPSEARCH, Springer;Operational Research Society of India, vol. 59(1), pages 41-77, March.
  19. Nomeda Dobrovolskienė & Rima Tamošiūnienė, 2016. "Sustainability-Oriented Financial Resource Allocation in a Project Portfolio through Multi-Criteria Decision-Making," Sustainability, MDPI, vol. 8(5), pages 1-18, May.
  20. Gatzert, Nadine & Martin, Alexander & Schmidt, Martin & Seith, Benjamin & Vogl, Nikolai, 2021. "Portfolio optimization with irreversible long-term investments in renewable energy under policy risk: A mixed-integer multistage stochastic model and a moving-horizon approach," European Journal of Operational Research, Elsevier, vol. 290(2), pages 734-748.
  21. Nasim Dehghan Hardoroudi & Abolfazl Keshvari & Markku Kallio & Pekka Korhonen, 2017. "Solving cardinality constrained mean-variance portfolio problems via MILP," Annals of Operations Research, Springer, vol. 254(1), pages 47-59, July.
  22. Gianfranco Guastaroba & Renata Mansini & Wlodzimierz Ogryczak & M. Grazia Speranza, 2020. "Enhanced index tracking with CVaR-based ratio measures," Annals of Operations Research, Springer, vol. 292(2), pages 883-931, September.
  23. Amir Ahmadi-Javid & Malihe Fallah-Tafti, 2017. "Portfolio Optimization with Entropic Value-at-Risk," Papers 1708.05713, arXiv.org.
  24. Li, Binghui & de Queiroz, Anderson Rodrigo & DeCarolis, Joseph F. & Bane, John & He, Ruoying & Keeler, Andrew G. & Neary, Vincent S., 2017. "The economics of electricity generation from Gulf Stream currents," Energy, Elsevier, vol. 134(C), pages 649-658.
  25. Burgher, Joshua & Hamers, Herbert, 2017. "A Quantitative Optimization Framework for Market-Driven Academic Program Portfolios," Discussion Paper 2017-025, Tilburg University, Center for Economic Research.
  26. Guastaroba, G. & Mansini, R. & Ogryczak, W. & Speranza, M.G., 2016. "Linear programming models based on Omega ratio for the Enhanced Index Tracking Problem," European Journal of Operational Research, Elsevier, vol. 251(3), pages 938-956.
  27. Mitter, Hermine & Heumesser, Christine & Schmid, Erwin, 2014. "Modelling robust crop production portfolios to assess agricultural vulnerability to climate change," 2014 International Congress, August 26-29, 2014, Ljubljana, Slovenia 182702, European Association of Agricultural Economists.
  28. Gatfaoui, Hayette, 2019. "Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures," Energy Economics, Elsevier, vol. 80(C), pages 132-152.
  29. Pushpa Narayan Rathie & Luan Carlos de Sena Monteiro Ozelim & Bernardo Borba de Andrade, 2021. "Portfolio Management of Copula-Dependent Assets Based on P ( Y < X ) Reliability Models: Revisiting Frank Copula and Dagum Distributions," Stats, MDPI, vol. 4(4), pages 1-24, December.
  30. Xidonas, Panos & Hassapis, Christis & Soulis, John & Samitas, Aristeidis, 2017. "Robust minimum variance portfolio optimization modelling under scenario uncertainty," Economic Modelling, Elsevier, vol. 64(C), pages 60-71.
  31. Mike G. Tsionas & Dionisis Philippas & Constantin Zopounidis, 2023. "Exploring Uncertainty, Sensitivity and Robust Solutions in Mathematical Programming Through Bayesian Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 62(1), pages 205-227, June.
  32. Ken Kobayashi & Yuichi Takano & Kazuhide Nakata, 2021. "Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization," Journal of Global Optimization, Springer, vol. 81(2), pages 493-528, October.
  33. Javier G. Castro & Edison A. Tito & Luiz E. Brandão, 2021. "Optimization of a Portfolio of Investment Projects: A Real Options Approach Using the Omega Measure," JRFM, MDPI, vol. 14(11), pages 1-17, November.
  34. Ahmadi-Javid, Amir & Fallah-Tafti, Malihe, 2019. "Portfolio optimization with entropic value-at-risk," European Journal of Operational Research, Elsevier, vol. 279(1), pages 225-241.
  35. Chen, Wei, 2015. "Artificial bee colony algorithm for constrained possibilistic portfolio optimization problem," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 429(C), pages 125-139.
  36. Juszczuk, Przemysław & Kaliszewski, Ignacy & Miroforidis, Janusz & Podkopaev, Dmitry, 2022. "Mean--variance portfolio selection problem: Asset reduction via nondominated sorting," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 263-272.
  37. Leal, Marina & Ponce, Diego & Puerto, Justo, 2020. "Portfolio problems with two levels decision-makers: Optimal portfolio selection with pricing decisions on transaction costs," European Journal of Operational Research, Elsevier, vol. 284(2), pages 712-727.
  38. Daniel Felix Ahelegbey & Paolo Giudici & Fatemeh Mojtahedi, 2022. "Crypto Asset Portfolio Selection," FinTech, MDPI, vol. 1(1), pages 1-9, February.
  39. Bernardo K. Pagnoncelli & Felipe del Canto & Arturo Cifuentes, 2021. "The effect of regularization in portfolio selection problems," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 29(1), pages 156-176, April.
  40. Songkomkrit Chaiyakan & Phantipa Thipwiwatpotjana, 2021. "Bounds on mean absolute deviation portfolios under interval-valued expected future asset returns," Computational Management Science, Springer, vol. 18(2), pages 195-212, June.
  41. Valle, C.A. & Meade, N. & Beasley, J.E., 2014. "Absolute return portfolios," Omega, Elsevier, vol. 45(C), pages 20-41.
  42. Lin Chen & Jin Peng & Bo Zhang & Isnaini Rosyida, 2017. "Diversified models for portfolio selection based on uncertain semivariance," International Journal of Systems Science, Taylor & Francis Journals, vol. 48(3), pages 637-648, February.
  43. Bahram Alidaee & Vijay P. Ramalingam & Haibo Wang & Bryan Kethley, 2018. "Computational experiment of critical event tabu search for the general integer multidimensional knapsack problem," Annals of Operations Research, Springer, vol. 269(1), pages 3-19, October.
  44. Virginie Gabrel & Cécile Murat & Aurélie Thiele, 2018. "Portfolio optimization with pw-robustness," EURO Journal on Computational Optimization, Springer;EURO - The Association of European Operational Research Societies, vol. 6(3), pages 267-290, September.
  45. Kobayashi, Ken & Takano, Yuichi & Nakata, Kazuhide, 2023. "Cardinality-constrained distributionally robust portfolio optimization," European Journal of Operational Research, Elsevier, vol. 309(3), pages 1173-1182.
  46. Hosseini-Nodeh, Zohreh & Khanjani-Shiraz, Rashed & Pardalos, Panos M., 2023. "Portfolio optimization using robust mean absolute deviation model: Wasserstein metric approach," Finance Research Letters, Elsevier, vol. 54(C).
  47. Diana Barro & Elio Canestrelli & Giorgio Consigli, 2019. "Volatility versus downside risk: performance protection in dynamic portfolio strategies," Computational Management Science, Springer, vol. 16(3), pages 433-479, July.
  48. Salo, Ahti & Doumpos, Michalis & Liesiö, Juuso & Zopounidis, Constantin, 2024. "Fifty years of portfolio optimization," European Journal of Operational Research, Elsevier, vol. 318(1), pages 1-18.
  49. Ramponi, Federico Alessandro & Campi, Marco C., 2018. "Expected shortfall: Heuristics and certificates," European Journal of Operational Research, Elsevier, vol. 267(3), pages 1003-1013.
  50. Caio Mário Mesquita & Cristiano Arbex Valle & Adriano César Machado Pereira, 2024. "Scenario Generation for Financial Data with a Machine Learning Approach Based on Realized Volatility and Copulas," Computational Economics, Springer;Society for Computational Economics, vol. 63(5), pages 1879-1919, May.
  51. Xidonas, Panos & Mavrotas, George & Hassapis, Christis & Zopounidis, Constantin, 2017. "Robust multiobjective portfolio optimization: A minimax regret approach," European Journal of Operational Research, Elsevier, vol. 262(1), pages 299-305.
  52. Wlodzimierz Ogryczak & Michał Przyłuski & Tomasz Śliwiński, 2017. "Efficient optimization of the reward-risk ratio with polyhedral risk measures," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 86(3), pages 625-653, December.
  53. Subrata Mitra & Balram Avittathur, 2018. "Application of linear programming in optimizing the procurement and movement of coal for an Indian coal-fired power-generating company," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 45(3), pages 207-224, September.
  54. Chiu, Mei Choi & Wong, Hoi Ying & Zhao, Jing, 2018. "Dynamic safety first expected utility model," European Journal of Operational Research, Elsevier, vol. 271(1), pages 141-154.
  55. Juan Francisco Monge, 2017. "Cardinality constrained portfolio selection via factor models," Papers 1708.02424, arXiv.org.
  56. Allen, D.E. & Powell, R.J. & Singh, A.K., 2016. "Take it to the limit: Innovative CVaR applications to extreme credit risk measurement," European Journal of Operational Research, Elsevier, vol. 249(2), pages 465-475.
  57. Patrizia Beraldi & Antonio Violi & Massimiliano Ferrara & Claudio Ciancio & Bruno Antonio Pansera, 2021. "Dealing with complex transaction costs in portfolio management," Annals of Operations Research, Springer, vol. 299(1), pages 7-22, April.
  58. Cui, Tianxiang & Ding, Shusheng & Jin, Huan & Zhang, Yongmin, 2023. "Portfolio constructions in cryptocurrency market: A CVaR-based deep reinforcement learning approach," Economic Modelling, Elsevier, vol. 119(C).
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