An integer programming algorithm for portfolio selection with fixed charges

DOI10.1002/NAV.3800290113MaRDI QIDQ3328200zbMATH OpenOpenAlexFDO

Authors Mary W. Cooper, Keyvan Farhangian

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

zbMATH Keywords

Fathomingfinancefixed charge integer programminghypersurface searchlimited diversificationmean-variance portfolio selection model

Mathematics Subject Classification ID

Integer programming (90C10) Dynamic programming (90C39) Applications of mathematical programming (90C90) Portfolio theory (91G10)

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Cited in

(9)

• Solving the fixed charge problem with Lagrangian relaxation and cost allocation heuristics
• COAL: A new heuristic approach for solving the fixed charge problem - computational results
• Decomposition and search techniques in disjunctive programs for portfolio selection
• Single period selection of portfolio models for the small investor
• scientific article; zbMATH DE number 5679823 (Why is no real title available?)
• Selecting portfolios with fixed costs and minimum transaction lots
• Online portfolio selection with state-dependent price estimators and transaction costs
• A dynamic programming algorithm for multiple-choice constraints
• Use of penalties in a branch and bound procedure for the fixed charge transportation problem

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