On the existence of solutions to the quadratic mixed-integer mean-variance portfolio selection problem

DOI10.1016/J.EJOR.2005.10.053MaRDI QIDQ853084zbMATH OpenOpenAlexFDO

Authors Marco Corazza, Daniela Favaretto

Publication date 15 November 2006

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

Full work available at URL https://doi.org/10.1016/j.ejor.2005.10.053

zbMATH Keywords

financefinite divisibility of financial assetsmean-variance portfolio selection problemquadratic mixed-integer programming

Mathematics Subject Classification ID

Mixed integer programming (90C11) Quadratic programming (90C20) Portfolio theory (91G10)

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Cites work

• An approach to nonlinear programming
• Branch and Bound Experiments in Convex Nonlinear Integer Programming
• Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints
• Computational study of a family of mixed-integer quadratic programming problems
• Heuristic algorithms for the portfolio selection problem with minimum transaction lots
• Heuristics for cardinality constrained portfolio optimization
• Numerical Experience with Lower Bounds for MIQP Branch-And-Bound
• Numerical Optimization
• Selecting portfolios with fixed costs and minimum transaction lots

Cited in

(20)

• Mean-variance models for portfolio selection with fuzzy random returns
• Stock market prediction and portfolio selection models: a survey
• A new portfolio selection model with interval-typed random variables and the empirical analysis
• A mispricing model of stocks under asymmetric information
• A risk index model for portfolio selection with returns subject to experts' estimations
• Fuzzy portfolio optimization model under real constraints
• Heuristic algorithms for the cardinality constrained efficient frontier
• Multi-period mean-semivariance portfolio optimization based on uncertain measure
• A new perspective for optimal portfolio selection with random fuzzy returns
• Portfolio selection with divisible and indivisible assets: mathematical algorithm and economic analysis
• Mean-risk model for uncertain portfolio selection
• A discontinuous mispricing model under asymmetric information
• Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets
• Minimax mean-variance models for fuzzy portfolio selection
• scientific article; zbMATH DE number 1539032 (Why is no real title available?)
• A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function
• An algebraic approach to integer portfolio problems
• Complex portfolio selection via convex mixed‐integer quadratic programming: a survey
• An R2R approach for stock prediction and portfolio optimization
• A fuzzy portfolio selection method based on possibilistic mean and variance

Describes a project that uses

Uses Software

• MINLP

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