Selecting mean-variance portfolio by non-linear mixed-integer programming methods
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| Názov: | Selecting mean-variance portfolio by non-linear mixed-integer programming methods |
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| Autori: | Andramonov M. Y., CORAZZA, Marco |
| Informácie o vydavateľovi: | Pitagora Editrice, 1994. |
| Rok vydania: | 1994 |
| Predmety: | Mean-Variance analysis, Portfolio selection model, Transaction costs, Taxes, Limited divisibility of the assets, non-linear mixed integer programming, Sub-gradient methods, Branch and Bound methods |
| Popis: | In this paper we propose a model for mean-variance portfolio selection in form of a non-linear mixed integer programming problem. We take into account the transaction costs, taxes and limited divisibility of the stocks. For finding the optimal solution, the combination of sub-gradient methods and branch and bound ones is used. |
| Druh dokumentu: | Conference object |
| Popis súboru: | application/pdf |
| Jazyk: | English |
| Prístupová URL adresa: | https://www.amases.org/wp-content/uploads/2020/07/Convegno_Amases_1994_18.pdf https://hdl.handle.net/10278/29734 |
| Prístupové číslo: | edsair.od......3655..c7c3f4a8e35c1e31aebb6a10edffbc9c |
| Databáza: | OpenAIRE |
Nájsť tento článok vo Web of Science | Abstrakt: | In this paper we propose a model for mean-variance portfolio selection in form of a non-linear mixed integer programming problem. We take into account the transaction costs, taxes and limited divisibility of the stocks. For finding the optimal solution, the combination of sub-gradient methods and branch and bound ones is used. |
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