کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
479364 | 1446209 | 2007 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem](/preview/png/479364.png)
چکیده انگلیسی
In this paper, we consider an extension of the Markovitz model, in which the variance has been replaced with the Value-at-Risk. So a new portfolio optimization problem is formulated. We showed that the model leads to an NP-hard problem, but if the number of past observation T or the number of assets K are low, e.g. fixed to a constant, polynomial time algorithms exist. Furthermore, we showed that the problem can be formulated as an integer programming instance. When K and T are large and αVaR is small—as common in financial practice—the computational results show that the problem can be solved in a reasonable amount of time.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 176, Issue 1, 1 January 2007, Pages 423–434
Journal: European Journal of Operational Research - Volume 176, Issue 1, 1 January 2007, Pages 423–434
نویسندگان
Stefano Benati, Romeo Rizzi,