An Integer Programming Algorithm for Portfolio Selection

DOI10.1287/mnsc.20.10.1376zbMath0304.90008OpenAlexW1969530520MaRDI QIDQ4060647

Bruce Faaland

Publication date: 1974

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.20.10.1376

Mathematics Subject Classification ID

Decision theory (91B06) Numerical mathematical programming methods (65K05) Applications of mathematical programming (90C90) Integer programming (90C10) Quadratic programming (90C20)

Related Items (7)

Exact solution method to solve large scale integer quadratic multidimensional knapsack problems ⋮ A branch and search algorithm for a class of nonlinear knapsack problems ⋮ Applications of Quadratic Programming ⋮ Improving an exact approach for solving separable integer quadratic knapsack problems ⋮ Tightening concise linear reformulations of 0-1 cubic programs ⋮ Reformulation of the Quadratic Multidimensional Knapsack Problem as Copositive/Completely Positive Prorams ⋮ Epsilon-dominating solutions in mean-variance portfolio analysis

This page was built for publication: An Integer Programming Algorithm for Portfolio Selection