This paper develops a new algorithm for solving the general nonlinear programming problem that melds the flexible simplex search of Nelder and Mead with various additional rules to take care of ...

Estimation errors or uncertainities in expected return and risk measures create difficulties for portfolio optimization. The literature deals with the uncertainty using stochastic, fuzzy or ...

To make things worse, the problems are nonlinear and have mixed-integer decisions," explains Potschka. "Most approaches so far either drop the nonlinearity in favor of a relatively coarse piecewise ...