An exact algorithm for factor model in portfolio selection with roundlot constraints
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Publication:3625229
DOI10.1080/02331930902741747zbMath1159.91399OpenAlexW1998861492WikidataQ57445469 ScholiaQ57445469MaRDI QIDQ3625229
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Publication date: 12 May 2009
Published in: Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331930902741747
Lagrangian relaxationportfolio optimizationbranch-and-bound methodfactor modelcontinuous relaxationroundlot constraints
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