Decomposition and search techniques in disjunctive programs for portfolio selection

MaRDI QIDQ2725593zbMATH OpenFDO

Authors Katherine Wyatt

Publication date 20 June 2002

zbMATH Keywords

absolute deviation trade-off modeldisjunctive programsportfolio selection

Mathematics Subject Classification ID

Portfolio theory (91G10)

Review text

A fixed-income portfolio selection problem is formulated as a disjunctive program, where the desired portfolio is described by means of logical disjunctions. A main feature of the algorithm for decomposing the resulting large linear programs is that variable decomposition of the linear programs is combined with branch and bound search among the disjunctive sets that describe the desired portfolio.NEWLINENEWLINEFor the entire collection see [Zbl 0958.00019].

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