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Multi-period portfolio optimization with constraints and transaction costs
Investment combinatorial optimization the horizon assets minimum deviation standard dynamic
2015/8/10
We consider the problem of multi-period portfolio optimization over a finite horizon, with a self-financing budget constraint and arbitrary distribution of asset returns, with objective to minimize th...
Operation and configuration of a storage portfolio via convex optimization
Convex optimization Predictive control Energy management systems
2015/8/7
We consider a portfolio of storage devices which is used to modify a commodity flow so as to minimize an average cost function. The individual storage devices have different parameters that characteri...
A note on evolutionary stochastic portfolio optimization and probabilistic constraints
portfolio optimization probabilistic constraints
2010/4/27
In this note, we extend an evolutionary stochastic portfolio optimization framework to include probabilistic constraints. Both the stochastic programming-based modeling environment as well as the evol...
The evaluation of the policy of portfolio problems
Portfolio Consumption Duality Arguments
2010/9/15
In this note, the authors try to evaluate a portfolio strategy by comparing its expected utility with that of the optimal strategy in the market with consumption, and obtain some interesting results. ...
Dynamic portfolio choice problems with non-monotone utility functions
Portfolio monotone Mean-variance preferences, Continuous-Time
2010/9/13
In this paper, based on a non-monotone utility function being revised to a monotone utility function, we study the multi-period and continuous-time optimal consumption-investment choice model, and giv...
An effective decision-based genetic algorithm approach to multiobjective portfolio optimization problem
Multiobjective Portfolio Optimization Genetic Algorithm
2010/9/15
Multiobjective portfolio optimization problem is the portfolio process of the highest expected return among the various financial commodities of the capital market to meet the expected return objectiv...
Portfolio Optimization Model with Transaction Costs
Transaction cost portfolio optimization model
2007/12/11
The purpose of the article is to formulate, under the lX risk measure, a model of portfolio selection with transaction costs and then investigate the optimal strategy within the proposed. The characte...