2005年11月
Integer programming approaches in mean-risk models
Computational Management Science
- ,
- 巻
- 2
- 号
- 4
- 開始ページ
- 339
- 終了ページ
- 351
- 記述言語
- 英語
- 掲載種別
- DOI
- 10.1007/s10287-005-0038-9
This paper is concerned with porfolio optimization problems with integer constraints. Such problems include, among others mean-risk problems with nonconvex transaction cost, minimal transaction unit constraints and cardinality constraints on the number of assets in a portfolio. These problems, though practically very important have been considered intractable because we have to solve nonlinear integer programming problems for which there exists no efficient algorithms. We will show that these problems can now be solved by the state-of-the-art integer programming methodologies if we use absolute deviation as the measure of risk. © Springer-Verlag Berlin/Heidelberg 2005.
- ID情報
-
- DOI : 10.1007/s10287-005-0038-9
- ISSN : 1619-697X
- SCOPUS ID : 27644465300