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Introduction to Linear Optimization and Extensions with MATLAB®
book

Introduction to Linear Optimization and Extensions with MATLAB®

by Roy H. Kwon
September 2013
Intermediate to advanced content levelIntermediate to advanced
362 pages
8h 44m
English
CRC Press
Content preview from Introduction to Linear Optimization and Extensions with MATLAB®
Duality Theory 163
product demand, financial security prices, resource requirements, and resource
costs that are difficult to estimate and in reality can fluctuate considerably. For
example, consider a linear program that constructs a financial portfolio, e.g.,
the MAD model from Chapter 1, to be held for a period of time and requires
the future performance of the financial assets like the expected return over
a particular time duration. This performance data will significantly influence
the optimal portfolio construction, and if the actual performance of assets
over time are different than what was estimated, then one could be holding
a portfolio that may be misleading. For example, suppose that an estimation
for the expected return for stock i used in the ...
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Publisher Resources

ISBN: 9781439862636