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題名:A Probabilistic Portfolio Budget Allocation Problem with CPI Index under Risk
書刊名:工業工程學刊
作者:Noroozi, AmirMokhtari, HadiBagherpour, MortezaSadjadi, Seyed Jafar
出版日期:2016
卷期:33:4
頁次:頁236-246
主題關鍵詞:Portfolio budget allocationCost performance indexCone programmingCVX modeling
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:0
  • 點閱點閱:79
期刊論文
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24.Ghosh-Dastidar, U.、Persico, D.(2009)。An example of portfolio optimization using a variant of fast simulated annealing。Mathematics & Computer Education,43(1),36-40。  new window
25.Hadjinicola, G. C.、Soteriou, A. C.(2003)。Reducing the cost of defects in multistage production systems: A budget allocation perspective。European Journal of Operational Research,145,621-634。  new window
26.Hirschberger, M.、Qi, Y.、Steuer, R. E.(2007)。Randomly generating portfolio-selection covariance matrices with specified distributional characteristics。European Journal of Operational Research,177,1610-1625。  new window
27.Kapiamba, J. N.、Berthold Ulungu, E.-L.、Mubenga, P. K.(2015)。Simulated annealing vs. genetic algorithm to portfolio selection。International Journal of Scientific and Innovative Mathematical Research,3,18-30。  new window
28.Kino, Y.(2005)。The description technique that reduces latitude in risk expression。Journal of the Society of Project Management,7,3-7。  new window
29.Lee, L. H.、Chew, E. P.、Teng, S.(2010)。Computing budget allocation rules for multi-objective simulation models based on different measures of selection quality。Automatica,46,1935-1950。  new window
30.Lipke, W.、Zwikael, O.、Henderson, K.、Anbari, F.(2009)。Prediction of project outcome。International Journal of Project Management,27,400-407。  new window
31.Liua, W. J.、Zhanga, W. G.、Zhangb, P.(2013)。A multi-period portfolio selection optimization model by using interval analysis。Economic Modelling,33,113-119。  new window
32.Lyons, L. E.、Blosser, J.(2012)。An Analysis and Allocation System for Library Collections Budgets: The Comprehensive Allocation Process (CAP)。The Journal of Academic Librarianship,38,294-310。  new window
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37.Perng, Y. H.、Juan, Y. K.、Hsu, H. S.(2007)。Genetic algorithm-based decision support for the restoration budget allocation of historical buildings。Building and Environment,42,770-778。  new window
38.Rao, A. G.、Rao, M. R.(1983)。Optimal budget allocation when response is S-shaped。Operations Research Letters,2,225-230。  new window
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40.Sato, T.、Hirao, M.(2012)。Optimum budget allocation method for projects with critical risks。International Journal of Project Management,31,126-135。  new window
41.Sato, T.、Hirao, M.(2013)。Optimum budget allocation method for projects with critical risks。International Journal of Project Management,31(1),126-135。  new window
42.Shahanaghi, K.、Babaei, M. H.、Hamidi, M. R.、Jahani, E.(2013)。Comparison of Simulated Annealing and Electromagnetic Algorithms for Solution of Extended Portfolio Model。International Journal of Applied Operational Research,3,79-93。  new window
43.Tang, Y. C.(2009)。An approach to budget allocation for an aerospace company--Fuzzy analytic hierarchy process and artificial neural network。Neurocomputing,72,3477-3489。  new window
44.Üctug, F. G.、Yükseltan, E.(2012)。A linear programming approach to household energy conservation: Efficient allocation of budget。Energy and Buildings,49,200-208。  new window
45.Xiao, L.、Wu, Z.(2009)。Optimization of security investment portfolio based on improved simulated annealing algorithm。International Journal of Business and Management,3,75-77。  new window
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會議論文
1.Lai, C. C.(2010)。Simulated Annealing in Multifactor Equity Portfolio Management。International MultiConference of Engineers and Computer Scientists。Hong Kong。17-19。  new window
2.Li Y. F.、Guo, W.(2009)。The Stock Portfolios Simulated Annealing Genetic Algorithm Based on RAROC。The 21st Chinese Control and Decision Conference,3574-3578。  new window
學位論文
1.Grant, M.(2004)。Disciplined Convex Programming(博士論文)。Stanford University。  new window
2.Heise, S. R.(1991)。Review of cost performance index stability(碩士論文)。Air University。  new window
圖書
1.Smith, P. G.、Merritt, G. M.(2002)。Proactive Risk Management: Controlling Uncertainty in Product Development。New York, NY:Productivity Press。  new window
2.Elton, Edwin J.、Gruber, Martin J.(1995)。Modern Portfolio Theory and Investment Analysis。John Wiley and Sons, Inc.。  new window
3.Bazaraa, M. S.、Sherali, H. D.、Shetty, C. M.(2006)。Nonlinear Programming: Theory and Algorithms。New York, NY:John Wiley & Sons。  new window
其他
1.Grant, M.,Boyd, S.(2012)。The CVX Users' Guide,http://cvxr.com/cvx/cvx_usrguide.pdf。  new window
圖書論文
1.Chopra, V. K.、Ziembia, W. T.(1998)。The effect of errors in means, variances, and covariances on optimal portfolio choices。Worldwide asset and liability modeling。Cambridge:Cambridge University Press。  new window
2.Grant, M.、Boyd, S.、Ye, Y.(2006)。Disciplined convex programming。Global optimization: From Theory to Implementation。Springer。  new window
 
 
 
 
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