Complex portfolio selection via convex mixed‐integer quadratic programming: a survey

In this paper, we review convex mixed‐integer quadratic programming approaches to deal with single‐objective single‐period mean‐variance portfolio selection problems under real‐world financial constraints. In the first part, after describing the original Markowitz's mean‐variance model, we anal...

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Veröffentlicht in:	International transactions in operational research Jg. 26; H. 2; S. 389 - 414
Hauptverfasser:	Mencarelli, Luca, D'Ambrosio, Claudia
Format:	Journal Article
Sprache:	Englisch
Veröffentlicht:	Oxford Blackwell Publishing Ltd 01.03.2019 Wiley
Schlagworte:	Computer Science Constraint modelling convex MINLP Convexity Empirical analysis exact methods mixed‐integer quadratic programming Operations Research Portfolio management portfolio selection Probabilistic models Quadratic programming robust and probabilistic optimization Variance analysis
ISSN:	0969-6016, 1475-3995
Online-Zugang:	Volltext
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