Numerical solution of a general interval quadratic programming model for portfolio selection

Quadratic programming with interval variables is developed from quadratic programming with interval coefficients to obtain optimum solution in interval form, both the optimum point and optimum value. In this paper, a two-level programming approach is used to solve quadratic programming with interval variables. Procedure of two-level programming is transforming the quadratic programming model with interval variables into a pair of classical quadratic programming models, namely, the best optimum and worst optimum problems. The procedure to solve the best and worst optimum problems is also constructed to obtain optimum solution in interval form.

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A cost-sensitive multi-criteria quadratic programming model for imbalanced data

Journal of the Operational Research Society ◽

10.1057/s41274-017-0233-4 ◽

2018 ◽

Vol 69 (4) ◽

pp. 500-516 ◽

Cited By ~ 7

Author(s):

Xiangrui Chao ◽

Yi Peng

Keyword(s):

Quadratic Programming ◽

Programming Model ◽

Imbalanced Data

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CREDIBILITY-BASED FUZZY MATHEMATICAL PROGRAMMING MODEL FOR PORTFOLIO SELECTION UNDER UNCERTAINTY

International Journal of Information Technology & Decision Making ◽

10.1142/s0219622014500059 ◽

2014 ◽

Vol 13 (01) ◽

pp. 101-135 ◽

Cited By ~ 9

Author(s):

MUKESH KUMAR MEHLAWAT ◽

PANKAJ GUPTA

Keyword(s):

Mathematical Programming ◽

Portfolio Selection ◽

Programming Model ◽

Fuzzy Optimization ◽

Chance Constrained Programming ◽

Fuzzy Mathematical Programming ◽

Mathematical Programming Model ◽

Two Phase ◽

Solution Approach ◽

Practical Applications

In this paper, we develop a hybrid bi-objective credibility-based fuzzy mathematical programming model for portfolio selection under fuzzy environment. To deal with imprecise parameters, we use a hybrid credibility-based approach that combines the expected value and chance constrained programming techniques. The model simultaneously maximizes the portfolio return and minimizes the portfolio risk. We also consider an additional important criterion, namely, portfolio liquidity as a constraint in the model to make it better suited for practical applications. The proposed fuzzy optimization model is solved using a two-phase approach. An empirical study is included to demonstrate applicability of the proposed model and the solution approach in real-world applications of portfolio selection.

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Formulation of Broiler Finishing Rations by Quadratic Programming

Journal of Agricultural and Applied Economics ◽

10.1017/s0081305200005446 ◽

1986 ◽

Vol 18 (1) ◽

pp. 141-150 ◽

Cited By ~ 9

Author(s):

Bill R. Miller ◽

Ronaldo A. Arraes ◽

Gene M. Pesti

Keyword(s):

Linear Programming ◽

Quadratic Programming ◽

Programming Model ◽

Nutrition Knowledge ◽

Information Analysis ◽

Response Information ◽

Constraint Set ◽

Protein Density ◽

Production Response ◽

Reducing Energy

AbstractLeast cost feed mix by linear programming (LP) is a standard economic analysis in the poultry industry. A significant body of nutrition knowledge is now contained in the constraint set of industry LP models. This knowledge might be merged into an improved economic model that contains production response information. Analysis using a quadratic programming model indicated that a leading broiler firm could have improved economic efficiency by increasing protein density and reducing energy density of broiler finisher feed. If applicable industry wide, similar savings could be as high as $120 million per year.

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