IDEAS home Printed from https://ideas.repec.org/a/inm/ormnsc/v20y1974i10p1376-1384.html
   My bibliography  Save this article

An Integer Programming Algorithm for Portfolio Selection

Author

Listed:
  • Bruce Faaland

    (University of Washington)

Abstract

A mean-variance portfolio selection model suitable for the small investor is formulated as a sequence of quadratic integer programming problems. The special structure of these quadratic problems is exploited in a partial enumeration algorithm which uses cutting planes to accelerate convergence. Computational experience is reported on problems ranging in size from fifteen to fifty variables.

Suggested Citation

  • Bruce Faaland, 1974. "An Integer Programming Algorithm for Portfolio Selection," Management Science, INFORMS, vol. 20(10), pages 1376-1384, June.
    • Handle: RePEc:inm:ormnsc:v:20:y:1974:i:10:p:1376-1384
    DOI: 10.1287/mnsc.20.10.1376
    as

    Download full text from publisher

    File URL: http://dx.doi.org/10.1287/mnsc.20.10.1376
    Download Restriction: no
    File URL: https://libkey.io/10.1287/mnsc.20.10.1376?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. D. Quadri & E. Soutif & P. Tolla, 2009. "Exact solution method to solve large scale integer quadratic multidimensional knapsack problems," Journal of Combinatorial Optimization, Springer, vol. 17(2), pages 157-167, February.
    2. White, D.J., 1998. "Epsilon-dominating solutions in mean-variance portfolio analysis," European Journal of Operational Research, Elsevier, vol. 105(3), pages 457-466, March.
    3. Federico Della Croce & Dominique Quadri, 2012. "Improving an exact approach for solving separable integer quadratic knapsack problems," Journal of Combinatorial Optimization, Springer, vol. 23(1), pages 21-28, January.
    4. Sankaran, Jayaram K. & Patil, Ajay A., 1999. "On the optimal selection of portfolios under limited diversification," Journal of Banking & Finance, Elsevier, vol. 23(11), pages 1655-1666, November.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:inm:ormnsc:v:20:y:1974:i:10:p:1376-1384. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Asher (email available below). General contact details of provider: https://edirc.repec.org/data/inforea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.