On the existence of solutions to the quadratic mixed-integer mean-variance portfolio selection problem

DOI10.1016/J.EJOR.2005.10.053zbMath1109.90061OpenAlexW2071205133MaRDI QIDQ853084

Marco Corazza, Daniela Favaretto

Publication date: 15 November 2006

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2005.10.053

zbMATH Keywords

financemean-variance portfolio selection problemfinite divisibility of financial assetsquadratic mixed-integer programming

Mathematics Subject Classification ID

Mixed integer programming (90C11) Quadratic programming (90C20) Portfolio theory (91G10)

Related Items (15)

A fuzzy portfolio selection method based on possibilistic mean and variance ⋮ A discontinuous mispricing model under asymmetric information ⋮ Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets ⋮ A mispricing model of stocks under asymmetric information ⋮ A risk index model for portfolio selection with returns subject to experts' estimations ⋮ Minimax mean-variance models for fuzzy portfolio selection ⋮ A new perspective for optimal portfolio selection with random fuzzy returns ⋮ An algebraic approach to integer portfolio problems ⋮ Fuzzy portfolio optimization model under real constraints ⋮ Heuristic algorithms for the cardinality constrained efficient frontier ⋮ Stock market prediction and portfolio selection models: a survey ⋮ Mean-risk model for uncertain portfolio selection ⋮ A new portfolio selection model with interval-typed random variables and the empirical analysis ⋮ Mean-variance models for portfolio selection with fuzzy random returns ⋮ Multi-period mean-semivariance portfolio optimization based on uncertain measure

Uses Software

• MINLP

Cites Work

• Heuristic algorithms for the portfolio selection problem with minimum transaction lots
• Heuristics for cardinality constrained portfolio optimization
• Computational study of a family of mixed-integer quadratic programming problems
• An approach to nonlinear programming
• Branch and Bound Experiments in Convex Nonlinear Integer Programming
• Numerical Optimization
• Numerical Experience with Lower Bounds for MIQP Branch-And-Bound
• Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints
• Selecting portfolios with fixed costs and minimum transaction lots

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