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

DOI10.1016/J.EJOR.2005.10.053MaRDI QIDQ853084zbMATHzbMATHOpenAlexFDO

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

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

Mathematics Subject Classification ID

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

Recommendations

• scientific article; zbMATH DE number 1539032
• Portfolio selection with divisible and indivisible assets: mathematical algorithm and economic analysis
• Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints
• Integer programming approaches in mean-risk models
• Selecting portfolios with fixed costs and minimum transaction lots

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

(19)

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

Describes a project that uses

Uses Software

• MINLP

This page was built for publication: On the existence of solutions to the quadratic mixed-integer mean-variance portfolio selection problem

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q853084)