Linear vs. quadratic portfolio selection models with hard real-world constraints
نویسندگان
چکیده
منابع مشابه
Efficient Algorithms for Mean-variance Portfolio Optimization with Hard Real-world Constraints
The Markowitz mean-variance optimization model is a widely used tool for portfolio selection. However, in order to capture real world restrictions on actual investments, a Limited Asset Markowitz (LAM) model with the introduction of quantity and cardinality constraints has been considered. These two constraints have been modelled by adding binary variables to the Markowitz model, thus resulting...
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ژورنال
عنوان ژورنال: Computational Management Science
سال: 2014
ISSN: 1619-697X,1619-6988
DOI: 10.1007/s10287-014-0210-1