By using a triangular pos sibilistic distribution to describe the uncertainty of the return, we introduce a possibilistic linear programming model which we solve by a multiple objec tive …

3. Linear programming model for asset allocation In this section we give the method for the linear model, the explanation for the constraints added, as well as its result.

Nov 24, 2020 · There are many Quadratic forms of LPP which have been known to solve advanced MPT portfolio models. Linear Programming Problem discussed above is one of the …

The global optimization is solved as an allocation problem using the well-known tools of linear program.ming. The solutions from linear programming provide implicit prices of the investment …

Dec 11, 2020 · An asset allocation model was proposed and developed where the expected return for an asset class will be estimated using the simplex algorithm as an application of …

Asset Allocation. Linear programming is also used to determine the optimal allocation of resources among different assets. The objective is often to maximize expected utility or …

In this section, we write a linear programming (LP) model in C++ to determine an optimal allocation of resources for a given set of projects and their respective costs during a 10-year …

We study the asset allocation of a quadratic loss-averse (QLA) investor and derive conditions under which the QLA problem is equivalent to the mean-variance (MV) and conditional value …

Linear programming can assist in optimizing the loan portfolio by determining the allocation of available funds across different loan categories, such as personal loans, mortgages, business …

We should point out that in the above market model, arbitrage opportunities can be detected by simply solving a linear programming problem. Indeed, it suffices to determine the feasibility of …