A branch-and-bound algorithm for discrete multi-factor portfolio optimization model

DOI10.1007/S11741-008-0105-3MaRDI QIDQ3538479zbMATH OpenOpenAlexFDO

Authors Shufen Niu, Guoxin Wang, Xiaoling Sun

Publication date 24 November 2008

Published in Journal of Shanghai University (English Edition) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11741-008-0105-3

zbMATH Keywords

branch-and-bound methoddiscrete multi-factor modelLagrangian relaxationportfolio optimization

Mathematics Subject Classification ID

Polyhedral combinatorics, branch-and-bound, branch-and-cut (90C57) Applications of mathematical programming (90C90) Portfolio theory (91G10)

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Cites work

• A minimax portfolio selection rule with linear programming solution
• Computational study of a family of mixed-integer quadratic programming problems
• scientific article; zbMATH DE number 51121 (Why is no real title available?)
• Large-Scale Portfolio Optimization
• Nonlinear integer programming
• OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION

Cited in

(7)

• Application of a portfolio model in the real investment transactions
• A discrete multi-factor portfolio optimization model with cardinality constraints
• Threshold accepting approach to improve bound-based approximations for portfolio optimization
• Discrete portfolio optimization with industry constraints and transaction cost
• An exact algorithm for factor model in portfolio selection with roundlot constraints
• A branch and bound algorithm for discrete linear portfolio selection problems
• Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints

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