A dual ascent method for the portfolio selection problem with multiple constraints and linked proposals. (English) Zbl 0952.91035
Summary: Portfolio section 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.
MSC:
| 91G10 | Portfolio theory |
| 90C20 | Quadratic programming |
| 90C57 | Polyhedral combinatorics, branch-and-bound, branch-and-cut |
Keywords:
portfolio selection; dual ascent; risk return; quadratic programming; finance; integer programming; branch-and-boundReferences:
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