Mean-absolute deviation portfolio models with discrete choice constraints

MaRDI QIDQ2865875zbMATH OpenFDO

Authors Roy H. Kwon, Stephen J. Stoyan

Publication date 11 December 2013

Published in Algorithmic Operations Research (Search for Journal in Brave)

Full work available at URL http://journals.hil.unb.ca/index.php/AOR/article/view/15997

zbMATH Keywords

heuristicsportfolio optimizationmixed-integer programming

Mathematics Subject Classification ID

Approximation methods and heuristics in mathematical programming (90C59) Applications of mathematical programming (90C90) Portfolio theory (91G10) Mixed integer programming (90C11) Financial applications of other theories (91G80)

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• Portfolio optimization model with and without options under additional constraints
• Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints
• An algorithm for portfolio selection in a frictional market
• A portfolio choice model based on the modified mean-absolute deviation
• An exact solution approach for portfolio optimization problems under stochastic and integer constraints

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