An integer programming algorithm for portfolio selection with fixed charges
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Publication:3328200
DOI10.1002/nav.3800290113zbMath0539.90007MaRDI QIDQ3328200
Keyvan Farhangian, Mary W. Cooper
Publication date: 1982
Published in: Naval Research Logistics Quarterly (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/nav.3800290113
finance; Fathoming; fixed charge integer programming; hypersurface search; limited diversification; mean-variance portfolio selection model
90C90: Applications of mathematical programming
90C10: Integer programming
90C39: Dynamic programming
91G10: Portfolio theory
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