A two-stage stochastic mixed-integer program modelling and hybrid solution approach to portfolio selection problems
- Submitting institution
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The University of Westminster
- Unit of assessment
- 11 - Computer Science and Informatics
- Output identifier
- 9v25y
- Type
- D - Journal article
- DOI
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10.1016/j.ins.2014.08.028
- Title of journal
- Information Sciences
- Article number
- -
- First page
- 190
- Volume
- 289
- Issue
- -
- ISSN
- 0020-0255
- Open access status
- Out of scope for open access requirements
- Month of publication
- August
- Year of publication
- 2014
- URL
-
-
- Supplementary information
-
-
- Request cross-referral to
- -
- Output has been delayed by COVID-19
- No
- COVID-19 affected output statement
- -
- Forensic science
- No
- Criminology
- No
- Interdisciplinary
- No
- Number of additional authors
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1
- Research group(s)
-
-
- Citation count
- 9
- Proposed double-weighted
- No
- Reserve for an output with double weighting
- No
- Additional information
- Portfolio optimisation problem in finance domain is complicated due to the multiple trading constraints as well as the market uncertainty. This paper is significant because it models the problem with a comprehensive set of real-world trading constraints and incorporates market uncertainty. To solve this complex problem, a decomposition and hybrid solution framework is developed. The results show this decomposition-hybrid solution framework is valid and flexible and it has huge potential to be extended. The framework has been applied in variety of optimisation problems across different domains, such as finance products, road network and water network optimisation, demonstrated by the citations.
- Author contribution statement
- -
- Non-English
- No
- English abstract
- -
