Abstract When solving large-scale cardinality-constrained Markowitz mean–variance portfolio investment problems, exact solvers may be unable to derive some efficient portfolios, even within a reasonable time limit. In such cases, information on the distance from best feasible solution, found before optimization process has stopped, true solution is unavailable. this article, I demonstrate how p...

methods for estimating the means and covariances of stumpage prices and incorporating _._ th m in harvest scheduling models. We approached the esti ation problem by fitting timeseries models to loblolly pine sawtimber and pulpwood stumpage prices in Georgia, USA, _= and deriving formulas for means and covariances of price predictions. Statistical evidence _ supported integrated autoregressive m...

Mean-variance portfolio analysis provided the first quantitative treatment of the tradeoff between profit and risk. We describe in detail the interplay between objective and constraints in a number of single-period variants, including semivariance models. Particular emphasis is laid on avoiding the penalization of overperformance. The results are then used as building blocks in the development ...

Harry Markowitz’s mean-variance model for portfolio choice posits a linear relationship between the return of a portfolio and the returns of its component securities. This linear relationship does not hold in an ex post setting when monthly or quarterly returns are used. 1 The Standard Portfolio Selection Model Harry Markowitz begins Mean-Variance Analysis in Portfolio Choice and Capital Market...