Linear and non-linear optimization models for the selection of investment portfolio
This research suggests a maxmin model for the selection of investment portfolios. The risk evaluation coefficients are introduced. The components of portfolio are found by solving linear programming task in onemodel and non-linear programming task in the other. In the experimental part of the resea...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Vilnius University Press
2021-06-01
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| Series: | Lietuvos Matematikos Rinkinys |
| Subjects: | |
| Online Access: | https://www.journals.vu.lt/LMR/article/view/24233 |