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)
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quadratic programmingfinanceinteger programmingportfolio selectionbranch-and-bounddual ascentrisk return
Quadratic programming (90C20) Polyhedral combinatorics, branch-and-bound, branch-and-cut (90C57) Portfolio theory (91G10)
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Cited In (10)
- An exact algorithm for factor model in portfolio selection with roundlot constraints
- OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION
- Separable relaxation for nonconvex quadratic integer programming: Integer diagonalization approach
- Sensitivity to estimation errors in mean-variance models
- A distributed computation algorithm for solving portfolio problems with integer variables
- 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
- A conjugate direction based simplicial decomposition framework for solving a specific class of dense convex quadratic programs
- Twenty years of linear programming based portfolio optimization
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