Global Optimization Algorithms for Financial Planning Problems
نویسندگان
چکیده
It is becoming apparent that convex financial planning models are at times a poor approximation of the real world. More realistic, and more relevant models need to dispense with normality assumptions, and concavity of the utility functions to be optimized. Moreover, the problems are large scale but structured, consequently specialized algorithms have been proposed for their solution. The aim of this article is to discuss a non-convex portfolio selection problem and describe algorithms that can be used for its solution.
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