An integer programming algorithm for portfolio selection with fixed charges
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Publication:3328200
DOI10.1002/nav.3800290113zbMath0539.90007OpenAlexW2151535155MaRDI QIDQ3328200
Keyvan Farhangian, Mary W. Cooper
Publication date: 1982
Published in: Naval Research Logistics Quarterly (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/nav.3800290113
financeFathomingfixed charge integer programminghypersurface searchlimited diversificationmean-variance portfolio selection model
Applications of mathematical programming (90C90) Integer programming (90C10) Dynamic programming (90C39) Portfolio theory (91G10)
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