haku: @indexterm NONLINEAR PROGRAMMING / yhteensä: 122
viite: 34 / 122
Tekijä: | Jones, C.K. et al. |
Otsikko: | An optimal diversification network model with fixed-solution universe subsets |
Lehti: | Journal of the Operational Research Society
1991 : MAR, VOL. 42:3, p. 247-251 |
Asiasana: | NETWORKS INVESTMENT MODELS NONLINEAR PROGRAMMING RISK |
Kieli: | eng |
Tiivistelmä: | The problem presented in the paper is that of investment diversification or dynamic network portfolio selection. The model considers the situation of the fixed solution subset corresponding to a fixed single-resource economic investment such as that found in many oil-producing nations. Quadratic side constraints on the variance of the resultant flow distribution are added to the model to accommodate uncertainty. The model has been tested using a prototype example. The results indicate that the risk associated with a single-resource investment can be reduced by determining optimal investment weights. |
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