Portfolio Optimization: Some Aspects of Modeling and Computing
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2018
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oai:112.137.131.14:VNU_123-613772018-03-22T20:08:13Z Portfolio Optimization: Some Aspects of Modeling and Computing Nguyen, Thanh Hai Nguyen, Van Dinh Portfolio optimization mathematical programming single-objective optimization multi-objective optimization computational optimization methods p. 1-9 The paper focuses on computational aspects of portfolio optimization (PO) problems. The objectives of such problems may include: expectedreturn, standard deviation and variation coefficient of the portfolioreturn rate. PO problems can be formulated as mathematical programming problems in crisp, stochastic or fuzzy environments. To compute optimal solutions of such single- and multi-objective programming problems, the paper proposes the use of a computational optimization method such as RST2ANU method, which can be applied for nonconvex programming problems. Especially, an updated version of the interactive fuzzy utility method, named UIFUM, is proposed to deal with portfolio multi-objective optimization problems. 2018-03-20T08:53:56Z 2018-03-20T08:53:56Z 2017 Article 2588-1116 http://repository.vnu.edu.vn/handle/VNU_123/61377 en ;Vol 33 No 2 application/pdf H. : ĐHQGHN |
| institution |
Vietnam National University, Hanoi |
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VNU Library & Information Center |
| country |
Vietnam |
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VNU Digital Repository |
| language |
English |
| topic |
Portfolio optimization mathematical programming single-objective optimization multi-objective optimization computational optimization methods |
| spellingShingle |
Portfolio optimization mathematical programming single-objective optimization multi-objective optimization computational optimization methods Nguyen, Thanh Hai Nguyen, Van Dinh Portfolio Optimization: Some Aspects of Modeling and Computing |
| description |
p. 1-9 |
| format |
Article |
| author |
Nguyen, Thanh Hai Nguyen, Van Dinh |
| author_facet |
Nguyen, Thanh Hai Nguyen, Van Dinh |
| author_sort |
Nguyen, Thanh Hai |
| title |
Portfolio Optimization: Some Aspects of Modeling and Computing |
| title_short |
Portfolio Optimization: Some Aspects of Modeling and Computing |
| title_full |
Portfolio Optimization: Some Aspects of Modeling and Computing |
| title_fullStr |
Portfolio Optimization: Some Aspects of Modeling and Computing |
| title_full_unstemmed |
Portfolio Optimization: Some Aspects of Modeling and Computing |
| title_sort |
portfolio optimization: some aspects of modeling and computing |
| publisher |
H. : ĐHQGHN |
| publishDate |
2018 |
| url |
http://repository.vnu.edu.vn/handle/VNU_123/61377 |
| _version_ |
1680968172506710016 |