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The Resource Portfolio optimization by means of multiple tandem certainty-uncertainty searches : a technical description, Brian G. Chow

Portfolio optimization by means of multiple tandem certainty-uncertainty searches : a technical description, Brian G. Chow

Label
Portfolio optimization by means of multiple tandem certainty-uncertainty searches : a technical description
Title
Portfolio optimization by means of multiple tandem certainty-uncertainty searches
Title remainder
a technical description
Statement of responsibility
Brian G. Chow
Creator
Contributor
Subject
Language
eng
Summary
This paper describes a new approach to a very difficult process of optimization under uncertainty. This approach is to find the optimal solution to a problem by designing a number of search algorithms or schemes in a way that allows analysts to apply to a problem that contains a significantly larger number of decision variables, uncertain parameters, and uncertain scenarios than analysts have had to contend with until now. The specific purpose of this paper is to convert a provisional patent application entitled Portfolio Optimization by Means of a Ranking and Competing Search by the author into a published volume available for public use. This approach and its associated search algorithms have a key feature0́4they generate typically 10,000 uncertain scenarios according to their uncertainty distribution functions. While each of these scenarios is a point in the larger uncertainty space, the originally uncertain parameters are specified for the scenario and are, thereby, "determined" or "certain." Thus, the solvable mixed-integer linear programming model can be used "under certainty" (i.e., deterministically) to find the optimal solution for that scenario. Doing this for numerous scenarios provides a great deal of knowledge and facilitates the search for the optimal solution0́4or one close to it0́4for the larger problem under uncertainty. Thus, this approach allows one to avoid the impossible task of performing millions or trillions of searches to find the optimal solution for each scenario, yet enables one to gain just as much knowledge as if one were doing so
http://library.link/vocab/creatorName
Chow, Brian G.,
Dewey number
519.3
Illustrations
illustrations
Index
no index present
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
  • Arroyo Center
  • Rand Corporation
  • Rand Corporation
  • United States
http://library.link/vocab/subjectName
Mathematical optimization
Label
Portfolio optimization by means of multiple tandem certainty-uncertainty searches : a technical description, Brian G. Chow
Instantiates
Publication
Note
  • "March 15, 2013."
  • "RAND Corporation."
  • Title from title screen (viewed March 15, 2013)
Antecedent source
unknown
Bibliography note
Includes bibliographical references
Color
multicolored
Contents
Introduction -- Technical Description -- Applications of the Approach in Past Studies -- Overview of the Approach and Suggestions for Expanding Its Use -- Appendix: Embodiments of Computer Resources Used in Portfolio Optimization by Means of Multiple Certainty-Uncertainty Searches
Control code
ocn867481149
Dimensions
unknown
Extent
1 online resource (70 pages)
File format
unknown
Form of item
online
Isbn
9780833082954
Level of compression
unknown
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
(OCoLC)867481149
Label
Portfolio optimization by means of multiple tandem certainty-uncertainty searches : a technical description, Brian G. Chow
Publication
Note
  • "March 15, 2013."
  • "RAND Corporation."
  • Title from title screen (viewed March 15, 2013)
Antecedent source
unknown
Bibliography note
Includes bibliographical references
Color
multicolored
Contents
Introduction -- Technical Description -- Applications of the Approach in Past Studies -- Overview of the Approach and Suggestions for Expanding Its Use -- Appendix: Embodiments of Computer Resources Used in Portfolio Optimization by Means of Multiple Certainty-Uncertainty Searches
Control code
ocn867481149
Dimensions
unknown
Extent
1 online resource (70 pages)
File format
unknown
Form of item
online
Isbn
9780833082954
Level of compression
unknown
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
(OCoLC)867481149

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