An Integer Programming Algorithm for Portfolio Selection

DOI10.1287/MNSC.20.10.1376MaRDI QIDQ4060647zbMATH OpenOpenAlexFDO

Authors Bruce Faaland

Publication date 1974

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.20.10.1376

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Integer programming (90C10) Quadratic programming (90C20) Applications of mathematical programming (90C90) Decision theory (91B06)

Cited in

(8)

• Epsilon-dominating solutions in mean-variance portfolio analysis
• Tightening concise linear reformulations of 0-1 cubic programs
• Improving an exact approach for solving separable integer quadratic knapsack problems
• Applications of Quadratic Programming
• Reformulation of the quadratic multidimensional knapsack problem as copositive/completely positive programs
• A branch and search algorithm for a class of nonlinear knapsack problems
• A 3-space dynamic programming heuristic for the cubic knapsack problem
• Exact solution method to solve large scale integer quadratic multidimensional knapsack problems

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