论文信息 - An Integer Programming Algorithm for Portfolio Selection

An Integer Programming Algorithm for Portfolio Selection

A mean-variance portfolio selection model suitable for the small investor is formulated as a sequence of quadratic integer programming problems. The special structure of these quadratic problems is exploited in a partial enumeration algorithm which uses cutting planes to accelerate convergence. Computational experience is reported on problems ranging in size from fifteen to fifty variables.

Bruce Faaland | B. Faaland

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