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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Vydané v:	International transactions in operational research Ročník 26; číslo 2; s. 389 - 414
Hlavní autori:	Mencarelli, Luca, D'Ambrosio, Claudia
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Oxford Blackwell Publishing Ltd 01.03.2019 Wiley
Predmet:	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
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