Portfolio Selection Under Buy-In Threshold Constraints Using DC Programming and DCA
Abstract
In matter of Portfolio selection, we consider a generalization of the Markowitz Mean-Variance model which includes buy-in threshold constraints. These constraints limit the amount of capital to be invested in each asset and prevent very small investments in any asset. The new model can be converted into a NP-hard mixed integer quadratic programming problem. The purpose of this paper is to investigate a continuous approach based on DC programming and DCA for solving this new model. DCA is a local continuous approach to solve a wide variety of nonconvex programs for which it provided quite often a global solution and proved to be more robust and efficient than standard methods. Preliminary comparative results of DCA and a classical Branch-and-Bound algorithm will be presented. These results show that DCA is an efficient and promising approach for the considered portfolio selection problem.
Cite
@article{arxiv.1404.3329,
title = {Portfolio Selection Under Buy-In Threshold Constraints Using DC Programming and DCA},
author = {Hoai An Le Thi and Mahdi Moeini},
journal= {arXiv preprint arXiv:1404.3329},
year = {2016}
}
Comments
Proceedings of third International Conference on Service Systems and Service Management (SSSM'06/IEEE), Troyes, Oct. 2006, pp. 296-300 (2006). arXiv admin note: text overlap with arXiv:cs/0501005 by other authors