[1a] Bienstock D., Computational study of a family of mixed integer quadratic programming problems, Math. Programming 74 (1996),

Transcription

1 6. Bibliografia 6.1. Riferimenti bibliografici [1a] Bienstock D., Computational study of a family of mixed integer quadratic programming problems, Math. Programming 74 (1996), [2a] Chang T.J., Meade N., Beasley J.E., Sharaiha Y.M., Heuristics for cardinality constrained portfolio optimisation Computers and Operations Research 27 (2000), [3a] Chopra V.K., Ziemba W.T., The effect of errors in means, variances and covariances on optimal portfolio choice, Journal of Portfolio Management (1993), 6 11 [4a] Crama Y., Schyns M., Simulated annealing for complex portfolio selection problems, European Journal of Operational Research 150 (2003), [5a] Dantzig G. B., Orden A., Wolfe P., Generalized Simplex Method for Minimizing a Linear from Under Linear Inequality Constraints, Pacific Journal Math vol.5, [6a] Gill P.E., Murray W., Sauders M.A., Wright M.H., Procedures for Optimization Problems with a Mixture of Bounds and General Linear Constraints, ACM Trans. Math. Software vol.10 (1984), [7a] Gill P.E., Murray W., Wright M.H., Numerical Linear Algebra and Optimization, AddisonWesley vol.1 (1991) [8a] Gill P.E., Murray W., Wright M.H., Practical Optimization, Academic Press., London (1981) [9a] Goldfarb D., Idnani A., Dual and Primal-Dual Methods for Solving Strictly Convex Quadratic Programs, Lecture notes in Mathematics vol. 909, ed Springer-Verlag, Berlino,

2 [10a] Goldfarb D., Idnani A., A numerically stable dual method for solving strictly convex quadratic programs, Mathematical Programming 27 (1983), 1 33 [11a] Han S.P., A Globally Convergent Method for Nonlinear Programming, Journal of Optimization Theory and Applications vol. 22 (1977), 297 [12a] Konno H., Shirakawa H., Yamazaki H., A mean absolute deviation skewness portfolio optimization model, Annali of Operations Research (1993), [13a] Konno H., Yamazaki H., Mean Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market, Management Science 37 (1991), [14a] Krink T., Mittnik S., Paterlini S., Differential evolution and combinatorial search for constrained index tracking, Annals of Operation Research (2009), 4 [15a] Markowitz H.M., Portfolio selection, Journal of Finance 7 (1952), [16a] Markowitz H.M., Portfolio selection: efficient diversification of investments, Cowles Foundation for Research in Economics at Yale University, New York (1959) [17a] Markowitz, H.M., The optimisation of a quadratic function subject to linear constraints, Naval Research Logistics Quarterly 3 (1956), [18a] Mills T.C., Stylized facts on the temporal and distributional properties of daily FTSE returns, Applied Financial Economics 7 (1997), [19a] Mitra G., Kyriakis T., Lucas C., Pirbhai M., A Review of Portfolio Planning: Models and Systems, Advances in portfolio construction and implementation (2003), Oxford, 1 21 [20a] Powell M.J.D., A Fast Algorithm for Nonlinearly Constrained Optimization Calculations, Lecture notes in Mathematics vol. 630, ed. Springer-Verlag (1978) 56

3 [21a] Powell M.J.D., The Convergence of Variable Metric Methods For Nonlinearly Constrained Optimization Calculations, Nonlinear Programming 3, Academic Press. (1978) [22a] Rardin R.L., Optimization in Operation Research, Prentice Hall (1998) [23a] Schaerf A., Local search techniques for constrained portfolio selection problems, Computational Economics 20 (2002), [24a] Simaan Y., Estimation Risk in Portfolio Selection: The Mean Variance Model Versus the Mean Absolute Deviation Model, Management Science 43 (1997), [25a] Streichert F., Ulmer H., Zell A., Evolutionary algorithms and the cardinality constrained portfolio selection problem, Selected Papers of the International Conference on Operations Research (Springer 2003) [26a] Young M.R., A Minimax Portfolio Selection Rule with Linear Programming Solution, Management Science 44 (1998),

4 6.2. Siti web [1b] [2b] [3b] [4b] PDF/1316/1316p.pdf [5b] assetallocationattfinanz/ipsoa/articolo3.mspx [6b] #Frontiera_efficiente_di_Markowitz [7b] [8b] [9b] [10b] [11b] PDF/6371/6371p.pdf [12b] [13b] assetallocationattfinanz/ipsoa/articolo2.mspx [14b] [15b] [16b] [17b] [18b] [19b] [20b] [21b] 58

5 [22b] [23b] [24b] [25b] [26b] [27b] [28b] [29b] [30b] [31b] [32b] 59