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Multitime dynamic programming for multiple integral actions

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  • Constantin Udrişte

    ()

  • Ionel Ţevy

    ()

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  • Constantin Udrişte & Ionel Ţevy, 2011. "Multitime dynamic programming for multiple integral actions," Journal of Global Optimization, Springer, vol. 51(2), pages 345-360, October.
  • Handle: RePEc:spr:jglopt:v:51:y:2011:i:2:p:345-360 DOI: 10.1007/s10898-010-9599-4
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    References listed on IDEAS

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    1. Andras Niedermayer & Daniel Niedermayer, 2006. "Applying Markowitz's Critical Line Algorithm," Diskussionsschriften dp0602, Universitaet Bern, Departement Volkswirtschaft.
    2. Pierre Bonami & Miguel Lejeune, 2009. "An Exact Solution Approach for Integer Constrained Portfolio Optimization Problems Under Stochastic Constraints," Post-Print hal-00421756, HAL.
    3. Konstantinos Anagnostopoulos & Georgios Mamanis, 2011. "Multiobjective evolutionary algorithms for complex portfolio optimization problems," Computational Management Science, Springer, vol. 8(3), pages 259-279, August.
    4. Panos Xidonas & George Mavrotas, 2014. "Multiobjective portfolio optimization with non-convex policy constraints: Evidence from the Eurostoxx 50," The European Journal of Finance, Taylor & Francis Journals, vol. 20(11), pages 957-977, November.
    5. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    6. Woodside-Oriakhi, M. & Lucas, C. & Beasley, J.E., 2011. "Heuristic algorithms for the cardinality constrained efficient frontier," European Journal of Operational Research, Elsevier, vol. 213(3), pages 538-550, September.
    7. N. J. Jobst & M. D. Horniman & C. A. Lucas & G. Mitra, 2001. "Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints," Quantitative Finance, Taylor & Francis Journals, vol. 1(5), pages 489-501.
    8. Hirschberger, Markus & Qi, Yue & Steuer, Ralph E., 2010. "Large-scale MV efficient frontier computation via a procedure of parametric quadratic programming," European Journal of Operational Research, Elsevier, vol. 204(3), pages 581-588, August.
    9. Hirschberger, Markus & Qi, Yue & Steuer, Ralph E., 2007. "Randomly generating portfolio-selection covariance matrices with specified distributional characteristics," European Journal of Operational Research, Elsevier, vol. 177(3), pages 1610-1625, March.
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