Tangency portfolios in the LP solvable portfolio selection
          models

Reza Keykhaei; Mohamad Taghi Jahandideh

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Displaying similar documents to “Tangency portfolios in the LP solvable portfolio selection models”

Tangency portfolios in the LP solvable portfolio selection models

Reza Keykhaei, Mohamad Taghi Jahandideh (2012)

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A risk measure in a portfolio selection problem is linear programming (LP) solvable, if it has a linear formulation when the asset returns are represented by discrete random variables, , they are defined by their realizations under specified scenarios. The efficient frontier corresponding to an LP solvable model is a piecewise linear curve. In this paper we describe a method which realizes and produces a tangency portfolio as a by-product...

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For a specific query merging the returned results from multiple search engines, in the form of a metasearch aggregation, can provide significant improvement in the quality of relevant documents. This paper suggests a minimax linear programming (LP) formulation for fusion of multiple search engines results. The paper proposes a weighting method to include the importance weights of the underlying search engines. This is a two-phase approach...

Metasearch information fusion using linear programming

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In this work we describe some strategies that have been proved to be very efficient for solving the following type of scheduling problems: Assume a set of jobs is to be performed along a planning horizon by selecting one from several alternatives for doing so. Besides selecting the alternative for each job, the target consists of choosing the periods at which each component of the work will be done, such that a set of scheduling and technological constraints is satisfied. The problem...

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2010 Mathematics Subject Classification: 97D40, 97M10, 97M40, 97N60, 97N80, 97R80 Since the middle of the 20th century, mathematical modeling by means of optimization problems has been widespread in scientific applications. Together with the software developed, it has a real impact on practice, thus changing the ideas of society about the role of mathematics, computer science, and information technologies. The present paper is aimed to show the accessibility of some basic...