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Decomposition And Search Techniques In Disjunctive Programs For Portfolio Selection

In: Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume II)

Author

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  • KATHERINE WYATT

    (Logic Based Systems Lab, Brooklyn College, City University of New York, USA)

Abstract
The following sections are included:IntroductionBackgroundModel FormulationThe absolute deviation trade-off model for fixed-income portfolio selectionStep-shaped programsDecomposition for step-shaped programsVariable decomposition for linear step-shaped programsDecomposition for disjunctive step-shaped programsDisjunctive linear programsCombined depth-first search and decompositionReferences

Suggested Citation

  • Katherine Wyatt, 2001. "Decomposition And Search Techniques In Disjunctive Programs For Portfolio Selection," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume II), chapter 14, pages 346-359, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812810663_0014
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