Portfolio Optimization by Means of Multiple Tandem Certainty-Uncertainty Searches: A Technical Description

Brian G. Chow

RAND Corporation

RAND Corporation

关键词: Military Acquisition and Procurement;    Optimization Heuristics;    Linear Programming;    Operations Research;    Military Budgets and Defense Spending;    Modeling and Simulation;    Optimization Modeling;   

DOI  :  10.7249/RR270
RP-ID  :  RR-270-A/OSD

学科分类：自然科学（综合）

美国|英语

来源: RAND Corporation Published Research

【 摘 要 】

This paper describes a new approach to a very difficult process of optimization under uncertainty. This approach is to find the optimal solution to a problem by designing a number of search algorithms or schemes in a way that allows analysts to apply to a problem that contains a significantly larger number of decision variables, uncertain parameters, and uncertain scenarios than analysts have had to contend with until now. The specific purpose of this paper is to convert a provisional patent application entitled Portfolio Optimization by Means of a Ranking and Competing Search by the author into a published volume available for public use.