A dual ascent method for the portfolio selection problem with multiple constraints and linked proposals

DOI10.1016/S0377-2217(97)00048-9zbMath0952.91035MaRDI QIDQ1296022

Siddhartha S. Syam

Publication date: 18 January 2001

Published in: European Journal of Operational Research (Search for Journal in Brave)

zbMATH Keywords

integer programmingquadratic programmingbranch-and-boundfinanceportfolio selectiondual ascentrisk return

Mathematics Subject Classification ID

Polyhedral combinatorics, branch-and-bound, branch-and-cut (90C57) Quadratic programming (90C20) Portfolio theory (91G10)

Related Items (9)

Sensitivity to estimation errors in mean-variance models ⋮ Separable relaxation for nonconvex quadratic integer programming: Integer diagonalization approach ⋮ Convex relaxation and Lagrangian decomposition for indefinite integer quadratic programming ⋮ Heuristic algorithms for the cardinality constrained efficient frontier ⋮ Twenty years of linear programming based portfolio optimization ⋮ An exact algorithm for factor model in portfolio selection with roundlot constraints ⋮ A conjugate direction based simplicial decomposition framework for solving a specific class of dense convex quadratic programs ⋮ OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION ⋮ A sparse chance constrained portfolio selection model with multiple constraints

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A branch and search algorithm for a class of nonlinear knapsack problems
• An algorithm for a singly constrained class of quadratic programs subject upper and lower bounds
• A surrogate relaxation based algorithm for a general quadratic multi- dimensional knapsack problem
• A New and Efficient Algorithm for a Class of Portfolio Selection Problems
• A polynomially bounded algorithm for a singly constrained quadratic program
• Quadratic knapsack problems
• Massively Parallel Algorithms for Singly Constrained Convex Programs
• Quadratic Binary Programming with Application to Capital-Budgeting Problems
• Elements of Large-Scale Mathematical Programming Part I: Concepts
• Monotone solutions of the parametric linear complementarity problem

This page was built for publication: A dual ascent method for the portfolio selection problem with multiple constraints and linked proposals