An algebraic approach to Integer Portfolio problems
Optimization and Control
2010-04-07 v1 Commutative Algebra
Abstract
Integer variables allow the treatment of some portfolio optimization problems in a more realistic way and introduce the possibility of adding some natural features to the model. We propose an algebraic approach to maximize the expected return under a given admissible level of risk measured by the covariance matrix. To reach an optimal portfolio it is an essential ingredient the computation of different test sets (via Gr\"obner basis) of linear subproblems that are used in a dual search strategy.
Cite
@article{arxiv.1004.0905,
title = {An algebraic approach to Integer Portfolio problems},
author = {F. Castro and J. Gago and I. Hartillo and J. Puerto and J. M. Ucha},
journal= {arXiv preprint arXiv:1004.0905},
year = {2010}
}
Comments
20 pages, with an appendix