DECOMPOSITION AND SEARCH TECHNIQUES IN DISJUNCTIVE PROGRAMS FOR PORTFOLIO SELECTION

Katherine Wyatt
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Katherine Wyatt: Logic Based Systems Lab, Brooklyn College, City University of New York, USA

Chapter 14 in Quantitative Analysis in Financial Markets:Collected Papers of the New York University Mathematical Finance Seminar(Volume II), 2001, pp 346-359 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe 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

Date: 2001
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