A two-stage stochastic mixed-integer program modelling and hybrid solution approach to portfolio selection problems

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A two-stage stochastic mixed-integer program modelling and hybrid solution approach to portfolio selection problems

In this paper, we investigate a multi-period portfolio selection problem with a comprehensive set of real-world trading constraints as well as market random uncertainty in terms of asset prices. We formulate the problem into a two-stage stochastic mixed-integer program (SMIP) with recourse. The set...

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Bibliographic Details
Main Authors:	He, Fang, Qu, Rong
Format:	Article
Published:	Elsevier 2014
Subjects:	Stochastic programming; Hybrid algorithm; Branch-and-Bound; Local search; Portfolio selection problems
Online Access:	https://eprints.nottingham.ac.uk/28273/

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