Solving cardinality constrained mean-variance portfolio problems via MILP

Nasim Dehghan Hardoroudi; Abolfazl Keshvari; Markku Kallio; Pekka Korhonen

doi:10.1007/s10479-017-2447-x

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Solving cardinality constrained mean-variance portfolio problems via MILP

Nasim Dehghan Hardoroudi Abolfazl Keshvari Markku Kallio Pekka Korhonen

Year: 2017 Journal: Annals of Operations Research Vol: 254 (1-2)Pages: 47-59 Publisher: Springer Science+Business Media

DOI: 10.1007/s10479-017-2447-x

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Keywords:

Portfolio Cardinality (data modeling) Mathematical optimization Portfolio optimization Computer science Quadratic programming Integer programming Linear programming Robustness (evolution) Mathematics Finance Data mining Economics

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Risk and Portfolio Optimization

Social Sciences → Decision Sciences → Management Science and Operations Research

Optimization and Mathematical Programming

Physical Sciences → Engineering → Control and Systems Engineering

Reservoir Engineering and Simulation Methods

Physical Sciences → Engineering → Ocean Engineering

Solving cardinality constrained mean-variance portfolio problems via MILP

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