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

DOI10.1016/j.ejor.2005.10.053zbMath1109.90061OpenAlexW2071205133MaRDI QIDQ853084

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

financemean-variance portfolio selection problemfinite divisibility of financial assetsquadratic mixed-integer programming

Mathematics Subject Classification ID

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

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Uses Software

• MINLP

Cites Work

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