An exact algorithm for factor model in portfolio selection with roundlot constraints (Q3625229): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank |
Revision as of 14:07, 5 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | An exact algorithm for factor model in portfolio selection with roundlot constraints |
scientific article |
Statements
An exact algorithm for factor model in portfolio selection with roundlot constraints (English)
0 references
12 May 2009
0 references
portfolio optimization
0 references
factor model
0 references
roundlot constraints
0 references
Lagrangian relaxation
0 references
continuous relaxation
0 references
branch-and-bound method
0 references