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| Author: | Morita, H. Ishil, H. Nishida, T. |
| Title: | Stochastic linear knapsack programming problem and its application to a portfolio selection problem |
| Journal: | European Journal of Operational Research
1989 : JUN, VOL. 40:3, p. 329-337 |
| Index terms: | LINEAR PROGRAMMING PORTFOLIO MANAGEMENT RISK ANALYSIS NONLINEAR PROGRAMMING ASSETS |
| Language: | eng |
| Abstract: | A probability maximization model of a stochastic linear knapsack problem is considered where random variables consist of several groups with mutually correlated ones. A solution is proposed to the equivalent nonlinear fractional programming problem with a simple ranking method. Other deterministic nonlinear fractional programming problems of this type could also be solved by this algorithm. The simple portfolio selection problem, which determines the portfolio of risky assets with the greatest ratio of excess return to standard deviation under the restriction to be nonnegative. To make the analysis more realistic, the model is tried to be extended to the stable Pareto distribution case, and to the single index model and multi-index model. |
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