A global optimization problem in portfolio selection

DOI10.1007/s10287-006-0038-4zbMath1187.91193OpenAlexW2075587829MaRDI QIDQ839845

S. J. Kane, Michael Bartholomew-Biggs

Publication date: 3 September 2009

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

Full work available at URL: http://hdl.handle.net/2299/3644

zbMATH Keywords

global optimizationmixed-integer optimizationportfolio selectionbuy-in thresholdsroundlots

Mathematics Subject Classification ID

Mixed integer programming (90C11) Portfolio theory (91G10)

Related Items

Optimizing preventive maintenance models, Complex portfolio selection via convex mixed‐integer quadratic programming: a survey, Extracting from the relaxed for large-scale semi-continuous variable nondominated frontiers, Twenty years of linear programming based portfolio optimization

Uses Software

• DIRECT
• FortMP

Cites Work

• Unnamed Item
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