Transcription of Optimization in Finance: Portfolio selection models
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Optimization in Finance: Portfolio selection models
Optimization in Finance: Portfolio selection modelsEnriqueta VercherDepartament d Estad stica i Investigaci o OperativaUniversitat de Val`enciaSpainIBERIAN CONFERENCE IN OPTIMIZATIONC oimbra 2006 IBERIAN CONFERENCE IN Optimization , Coimbra 2006 p. 1/59 AbstractPortfolio selection problem deals with how to form a satisfying Portfolio ,taking into account the uncertainty involved in the behavior of the (1952)established the relationship between the mean andvariance of the investment in the framework of risk-return trade-off. Sincethen a variety of enlarged and improved models have been developed inseveral models of Portfolio management combines probability theory andoptimization theoryto represent the behavior of the economic representations of return and risk have permitted to apply differentoptimization tools to the Portfolio CONFERENCE IN Optimization , Coimbra 2006 p.
Optimization in Finance: Portfolio selection models Enriqueta Vercher Departament d’Estad´ıstica i Investigacio Operativa´ Universitat de Valencia`
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