An empirical study on discrete optimization models for portfolio selection

DOI10.3934/JIMO.2009.5.33zbMATH Open1158.91373OpenAlexW2061524034MaRDI QIDQ1013443FDOQ1013443

Authors: Xueting Cui, Xiaoling Sun, D. Sha 

Publication date: 20 April 2009

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2009.5.33

Recommendations

• A discrete multi-factor portfolio optimization model with cardinality 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
• A continuous optimization approach for financial portfolio selection under discrete asset choice constraints
• Application of a portfolio model in the real investment transactions

zbMATH Keywords

portfolio selectiondiscrete modelempirical analysisreal featureShanghai stock market

Mathematics Subject Classification ID

Portfolio theory (91G10) Integer programming (90C10) Mixed integer programming (90C11)

Cited In (11)

• A discrete multi-factor portfolio optimization model with cardinality constraints
• Linear models for portfolio selection with real features
• Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints
• Discrete-continuous model in multi-criteria optimization problem with linear and quadratic quality criterions
• An optimal trade-off model for portfolio selection with sensitivity of parameters
• Comparison of portfolio optimization models with real features: an empirical study based on Chinese stock market
• Cardinality constrained portfolio selection problem: a completely positive programming approach
• Selecting a discrete portfolio
• A branch and bound algorithm for discrete linear portfolio selection problems
• Application of a portfolio model in the real investment transactions
• Robust multi-period and multi-objective portfolio selection

This page was built for publication: An empirical study on discrete optimization models for portfolio selection

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1013443)