An exact algorithm for factor model in portfolio selection with roundlot constraints (Q3625229)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An exact algorithm for factor model in portfolio selection with roundlot constraints |
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An exact algorithm for factor model in portfolio selection with roundlot constraints (English)
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12 May 2009
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portfolio optimization
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factor model
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roundlot constraints
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Lagrangian relaxation
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continuous relaxation
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branch-and-bound method
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