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A two stage stochastic mixed integer program modelling and hybrid solution approach to portfolio selection problems

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Figure

Fig. 1 Examples of scenario trees
Table.2 Properties of problem instances. m : the total number of assets available; k : the number of assets to be held
Table 2. Size of the original SMIP problem and the approximate average size of SMIP sub-problems
Fig. 6 Efficient frontiers from the hybrid LS-B&B and pure B&B in CPLEX
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