A branch and bound algorithm for discrete linear portfolio selection problems
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Publication:3641978
zbMATH Open1199.91196MaRDI QIDQ3641978FDOQ3641978
Authors: Jun Yi, Xiaoling Sun 
Publication date: 11 November 2009
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Polyhedral combinatorics, branch-and-bound, branch-and-cut (90C57) Portfolio theory (91G10) Integer programming (90C10)
Cited In (11)
- Decomposition and search techniques in disjunctive programs for portfolio selection
- Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints
- A branch and bound algorithm for solving mean-risk-skewness portfolio models
- An amendatory branch and bound algorithm for MAD model with concave transaction costs and bounded assets constraints
- Discrete portfolio optimization with industry constraints and transaction cost
- A branch-and-bound algorithm for discrete multi-factor portfolio optimization model
- Some modifications of integer optimization problems with uncertainty and risk
- A cutting plane algorithm for MV portfolio selection model
- An empirical study on discrete optimization models for portfolio selection
- Threshold accepting approach to improve bound-based approximations for portfolio optimization
- Application of a portfolio model in the real investment transactions
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