Finding the Efficient Frontier for a Mixed Integer Portfolio Choice Problem Using a Multiobjective Algorithm
نویسندگان
چکیده
منابع مشابه
Finding the Efficient Frontier for a Mixed Integer Portfolio Choice Problem Using a Multiobjective Algorithm
We propose a computational procedure to find the efficient frontier for the standard Markowitz mean-variance model with discrete variables. The integer constraints limit on the one hand the portfolio to contain a predetermined number of assets and, on the other hand, the proportion of the portfolio held in a given asset. We adapt the multiobjective algorithm NSGA for solving the problem. The al...
متن کاملComputing the Pareto frontier of a bi-objective bilevel linear problem using a multiobjective mixed-integer programming algorithm
In this paper we study the bilevel linear programming problem with multiple objective functions at the upper level, with particular focus on the bi-objective case. We examine some properties of this problem and propose a methodological approach based on the reformulation of the problem as a multiobjective mixed 0-1 linear programming problem. The basic idea consists in applying a reference poin...
متن کاملALTERNATIVE MIXED INTEGER PROGRAMMING FOR FINDING EFFICIENT BCC UNIT
Data Envelopment Analysis (DEA) cannot provide adequate discrimination among efficient decision making units (DMUs). To discriminate these efficient DMUs is an interesting research subject. The purpose of this paper is to develop the mix integer linear model which was proposed by Foroughi (Foroughi A.A. A new mixed integer linear model for selecting the best decision making units in data envelo...
متن کاملAn Imperialist Competitive Algorithm and a Mixed Integer Programming Formulation for the Capacitated Vehicle Routing Problem
The Vehicle Routing Problem (VRP), a famous problem of operation research, holds a central place in combinatorial optimization problems. In this problem, a fleet vehicles with Q capacity start to move from depot and return after servicing to customers in which visit only ones each customer and load more than its capacity not at all. The objective is to minimize the number of used vehicles and t...
متن کاملthe algorithm for solving the inverse numerical range problem
برد عددی ماتریس مربعی a را با w(a) نشان داده و به این صورت تعریف می کنیم w(a)={x8ax:x ?s1} ، که در آن s1 گوی واحد است. در سال 2009، راسل کاردن مساله برد عددی معکوس را به این صورت مطرح کرده است : برای نقطه z?w(a)، بردار x?s1 را به گونه ای می یابیم که z=x*ax، در این پایان نامه ، الگوریتمی برای حل مساله برد عددی معکوس ارانه می دهیم.
15 صفحه اولذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: iBusiness
سال: 2009
ISSN: 2150-4075,2150-4083
DOI: 10.4236/ib.2009.12013