Integer programming approaches in mean-risk models
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- Enrico Angelelli & Renata Mansini & M. Speranza, 2012. "Kernel Search: a new heuristic framework for portfolio selection," Computational Optimization and Applications, Springer, vol. 51(1), pages 345-361, January.
- repec:spr:compst:v:77:y:2013:i:3:p:345-356 is not listed on IDEAS
- Philipp Baumann & Norbert Trautmann, 2013. "Portfolio-optimization models for small investors," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 77(3), pages 345-356, June.
- Walter Murray & Howard Shek, 2012. "A local relaxation method for the cardinality constrained portfolio optimization problem," Computational Optimization and Applications, Springer, vol. 53(3), pages 681-709, December.
- repec:pal:jorsoc:v:68:y:2017:i:7:d:10.1057_jors.2016.21 is not listed on IDEAS
- Francesco Cesarone & Andrea Scozzari & Fabio Tardella, 2015. "Linear vs. quadratic portfolio selection models with hard real-world constraints," Computational Management Science, Springer, vol. 12(3), pages 345-370, July.
More about this item
KeywordsPortfolio optimization; mean-absolute deviation model; integer constraints; integer programming;
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