A dual ascent method for the portfolio selection problem with multiple constraints and linked proposals

Document Type

Article

Language

eng

Format of Original

12 p.

Publication Date

1998

Publisher

Elsevier

Source Publication

European Journal of Operational Research

Source ISSN

0377-2218

Abstract

Portfolio selection is an important but complicated topic in finance. This paper uses quadratic and integer programming methods (dual ascent, branch-and-bound) to solve portfolio selection problems involving risk (variance), return, multiple restrictions (constraints), and proposals that are linked in various ways. A detailed description of the methodology is provided, along with extensive computational results on a variety of problems.

Comments

European Journal of Operational Research, Volume 108, Issue 1, pp 196-207 (July, 1998). DOI

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