On the existence of solutions to the quadratic mixed-integer mean-variance portfolio selection problem
DOI10.1016/J.EJOR.2005.10.053zbMATH Open1109.90061OpenAlexW2071205133MaRDI QIDQ853084FDOQ853084
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
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financemean-variance portfolio selection problemfinite divisibility of financial assetsquadratic mixed-integer programming
Cites Work
- Numerical Optimization
- Numerical Experience with Lower Bounds for MIQP Branch-And-Bound
- Computational study of a family of mixed-integer quadratic programming problems
- An approach to nonlinear programming
- Heuristic algorithms for the portfolio selection problem with minimum transaction lots
- Heuristics for cardinality constrained portfolio optimization
- Branch and Bound Experiments in Convex Nonlinear Integer Programming
- Selecting portfolios with fixed costs and minimum transaction lots
- Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints
Cited In (18)
- Title not available (Why is that?)
- Multi-period mean-semivariance portfolio optimization based on uncertain measure
- Minimax mean-variance models for fuzzy portfolio selection
- A discontinuous mispricing model under asymmetric information
- Mean-variance models for portfolio selection with fuzzy random returns
- Complex portfolio selection via convex mixed‐integer quadratic programming: a survey
- Stock market prediction and portfolio selection models: a survey
- An algebraic approach to integer portfolio problems
- Heuristic algorithms for the cardinality constrained efficient frontier
- A mispricing model of stocks under asymmetric information
- A risk index model for portfolio selection with returns subject to experts' estimations
- A new perspective for optimal portfolio selection with random fuzzy returns
- Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets
- A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function
- Mean-risk model for uncertain portfolio selection
- Fuzzy portfolio optimization model under real constraints
- A new portfolio selection model with interval-typed random variables and the empirical analysis
- A fuzzy portfolio selection method based on possibilistic mean and variance
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