Optimization under Uncertainty using GAMS: Success Stories and ...
Optimization under Uncertainty using GAMS: Success Stories and ...
Optimization under Uncertainty using GAMS: Success Stories and ...
You also want an ePaper? Increase the reach of your titles
YUMPU automatically turns print PDFs into web optimized ePapers that Google loves.
Variance of Portfolio:<br />
Original: 21.419<br />
QCP, no Rest.: 9.66<br />
MIQCP: 14.853<br />
Trading Restrictions –<br />
100%<br />
90%<br />
80%<br />
70%<br />
60%<br />
50%<br />
40%<br />
30%<br />
20%<br />
10%<br />
0%<br />
Solution<br />
EfficientPortfolios<br />
Original QCP, no rest. MIQCP<br />
20<br />
us<br />
uk<br />
sw<br />
jp<br />
gr<br />
fr<br />
cn