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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Bibliographic Details

Published in:	International transactions in operational research Vol. 26; no. 2; pp. 389 - 414
Main Authors:	Mencarelli, Luca, D'Ambrosio, Claudia
Format:	Journal Article
Language:	English
Published:	Oxford Blackwell Publishing Ltd 01.03.2019 Wiley
Subjects:	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 Access:	Get full text
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