A dual ascent method for the portfolio selection problem with multiple constraints and linked proposals

DOI10.1016/S0377-2217(97)00048-9zbMATH Open0952.91035MaRDI QIDQ1296022FDOQ1296022

Authors Siddhartha S. Syam 

Publication date 18 January 2001

Published in European Journal of Operational Research (Search for Journal in Brave)

zbMATH Keywords

quadratic programmingfinanceinteger programmingportfolio selectionbranch-and-bounddual ascentrisk return

Mathematics Subject Classification ID

Quadratic programming (90C20) Polyhedral combinatorics, branch-and-bound, branch-and-cut (90C57) Portfolio theory (91G10)

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Cites work

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• scientific article; zbMATH DE number 757712 (Why is no real title available?)
• scientific article; zbMATH DE number 3356467 (Why is no real title available?)
• A New and Efficient Algorithm for a Class of Portfolio Selection Problems
• A branch and search algorithm for a class of nonlinear knapsack problems
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• A surrogate relaxation based algorithm for a general quadratic multi- dimensional knapsack problem
• An algorithm for a singly constrained class of quadratic programs subject upper and lower bounds
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• Massively Parallel Algorithms for Singly Constrained Convex Programs
• Monotone solutions of the parametric linear complementarity problem
• Quadratic Binary Programming with Application to Capital-Budgeting Problems
• Quadratic knapsack problems

Cited in

(10)

• A conjugate direction based simplicial decomposition framework for solving a specific class of dense convex quadratic programs
• An exact algorithm for factor model in portfolio selection with roundlot constraints
• Heuristic algorithms for the cardinality constrained efficient frontier
• A sparse chance constrained portfolio selection model with multiple constraints
• Convex relaxation and Lagrangian decomposition for indefinite integer quadratic programming
• Twenty years of linear programming based portfolio optimization
• Sensitivity to estimation errors in mean-variance models
• Separable relaxation for nonconvex quadratic integer programming: Integer diagonalization approach
• OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION
• A distributed computation algorithm for solving portfolio problems with integer variables

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