| Reference: | Benati, S. and R. Rizzi, A mixed integer programming formulation of the optimal mean/Value-at-Risk portfolio problem, European Journal of Operational Research 176, 423-434 (2007).
Brooke, A., D. Kendrick, and A. Meeraus, GAMS-A User’s Guide, The Scientific Press, Redwood City, CA (1988)
Campbell, R., R. Huisman, and K. Koedijk, Optimal portfolio selection in a Value-at-Risk framework, Journal of Banking & Finance 25, 1789-1804 (2001)
Harlow, W. V., Asset allocation in a downside-risk framework, Financial Analysts Journal 47 (Sep/Oct), 28-40 (1991)
Jorion, P., Value-at-Risk: the new benchmark for controlling market risk, McGraw-Hill, New York (2000)
Konno, H. and H. Yamazaki, Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market, Management Science 37, 519-531 (1991).
Luenberger, D. G., Investment science, Oxford University Press, New York (1998).
Meade, N. and G. R. Salkin, Index funds-construction and performance measurement, Journal of the Operational Research Society 40, 871-879 (1989).
Markowitz, H., Portfolio selection, Journal of Finance 7, 77-91 (1952).
Speranza, M. G., Linear programming models for portfolio optimization, Finance 14, 107-123 (1993).
Speranza, M. G., A heuristic algorithm for a portfolio optimization model applied to the Milan stock market, Computers & Operations Research 23, 433-441 (1996).
Young, M. R., A minimax portfolio selection rule with linear programming solution, Management Science 44, 673-683 (1998).
莊智祥，使用目標規畫建立指數基金，國立政治大學應用數學系碩士論文（民國87年）。
白惠琦，指數基金追蹤模型的最佳化，國立政治大學應用數學系碩士論文（民國91年）。
蘇代利，調整指數基金的最小成本模型，國立政治大學應用數學系碩士論文（民國93年）。
朱志達，超越指數績效的投資組合最佳化模型，國立政治大學應用數學系碩士
論文（民國99年）。 |
