A Continuous Optimization Approach for the Financial Portfolio Selection under Discrete Asset Choice Constraints
Computational Engineering, Finance, and Science
2014-04-15 v1
Abstract
In this paper we consider a generalization of the Markowitz's Mean-Variance model under linear transaction costs and cardinality constraints. The cardinality constraints are used to limit the number of assets in the optimal portfolio. The generalized model is formulated as a mixed integer quadratic programming (MIP) problem. The purpose of this paper is to investigate a continuous approach based on difference of convex functions (DC) programming for solving the MIP model. The preliminary comparative results of the proposed approach versus CPLEX are presented.
Keywords
Cite
@article{arxiv.1404.3286,
title = {A Continuous Optimization Approach for the Financial Portfolio Selection under Discrete Asset Choice Constraints},
author = {Mahdi Moeini},
journal= {arXiv preprint arXiv:1404.3286},
year = {2014}
}
Comments
Proceedings of the 12th International Symposium on Operational Research (SOR'2013), Slovenia, September 2013, pp. 89-95, (2013)