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dc.contributor.authorLi, Han-Linen_US
dc.contributor.authorTsai, Jung-Faen_US
dc.date.accessioned2014-12-08T15:12:18Z-
dc.date.available2014-12-08T15:12:18Z-
dc.date.issued2008-04-16en_US
dc.identifier.issn0377-2217en_US
dc.identifier.urihttp://dx.doi.org/10.1016/j.ejor.2007.02.010en_US
dc.identifier.urihttp://hdl.handle.net/11536/9448-
dc.description.abstractA portfolio problem with integer variables can facilitate the use of complex models, including models containing discrete asset values, transaction costs, and logical constraints. This study proposes a distributed algorithm for solving a portfolio program to obtain a global optimum. For a portfolio problem with n integer variables, the objective function first is converted into an ellipse function containing n separated quadratic terms. Next, the problem is decomposed into m equal-size separable programming problems solvable by a distributed computation system composed of rn personal computers linked via the Internet. The numerical examples illustrate that the proposed method can obtain the global optimum effectively for large scale portfolio problems involving integral variables. (c) 2007 Elsevier B.V. All rights reserved.en_US
dc.language.isoen_USen_US
dc.subjectfinanceen_US
dc.subjectportfolioen_US
dc.subjectquadratic integer programen_US
dc.subjectconvexen_US
dc.titleA distributed computation algorithm for solving portfolio problems with integer variablesen_US
dc.typeArticleen_US
dc.identifier.doi10.1016/j.ejor.2007.02.010en_US
dc.identifier.journalEUROPEAN JOURNAL OF OPERATIONAL RESEARCHen_US
dc.citation.volume186en_US
dc.citation.issue2en_US
dc.citation.spage882en_US
dc.citation.epage891en_US
dc.contributor.department資訊管理與財務金融系 註:原資管所+財金所zh_TW
dc.contributor.departmentDepartment of Information Management and Financeen_US
dc.identifier.wosnumberWOS:000251231100031-
dc.citation.woscount3-
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