We consider the fundamental problem of computing an optimal portfolio based on a quadratic mean-variance model of the objective function and a given polyhedral representation of the constraints. The main departure from the classical quadratic programming formulation is the inclusion in the objective function of piecewise linear, separable functions representing the transaction costs. We handle ...

This paper presents a fuzzy goal programming (FGP) methodology for solving bi-level quadratic programming (BLQP) problems. In the FGP model formulation, firstly the objectives are transformed into fuzzy goals (membership functions) by means of assigning an aspiration level to each of them, and suitable membership function is defined for each objectives, and also the membership functions for vec...

In this paper we develop tight bounds on the expected values of several risk measures that are of interest to us. This work is motivated by the robust optimization models arising from portfolio selection problems. The basic setting is to find a portfolio which maximizes (respectively minimizes) the expected utility (respectively disutility) values, in the midst of infinitely many possible ambig...

in this paper, the problem of simultaneous shape and size optimization of single-layer barrel vault frames which contains both of discrete and continuous variables is addressed. in this method, the improved magnetic charged system search (imcss) is utilized as the optimization algorithm and the open application programming interface (oapi) plays the role of interfacing analysis software with th...

Projects scheduling by the project portfolio selection, something that has its own complexity and its flexibility, can create different composition of the project portfolio. An integer programming model is formulated for the project portfolio selection and scheduling.Two heuristic algorithms, genetic algorithm (GA) and simulated annealing (SA), are presented to solve the problem. Results of cal...

asimulation-optimization approach is proposed for replenishment planning andshelf space allocation. the customers’ demand is divided into fixed andvariable demand. each customer follows a given path while shopping in thestore. by dividing the store space into several zones and calculating therelated substantial and random utilities, an analytical equation is proposedfor the probability of zone ...

In this paper, we propose formulations and algorithms for robust portfolio optimization under both aleatory uncertainty (i.e., natural variability) and epistemic uncertainty (i.e., imprecise probabilistic information) arising from interval data. Epistemic uncertainty is represented using two approaches: (1) moment bounding approach and (2) likelihood-based approach. This paper first proposes a ...