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Integer programming approaches in mean-risk models

Author

Listed:
  • Hiroshi Konno
  • Rei Yamamoto

Abstract

This paper is concerned with porfolio optimization problems with integer constraints. Such problems include, among others mean-risk problems with nonconvex transaction cost, minimal transaction unit constraints and cardinality constraints on the number of assets in a portfolio. These problems, though practically very important have been considered intractable because we have to solve nonlinear integer programming problems for which there exists no efficient algorithms. We will show that these problems can now be solved by the state- of-the-art integer programming methodologies if we use absolute deviation as the measure of risk. Copyright Springer-Verlag Berlin/Heidelberg 2005

Suggested Citation

  • Hiroshi Konno & Rei Yamamoto, 2005. "Integer programming approaches in mean-risk models," Computational Management Science, Springer, vol. 4(4), pages 339-351, November.
  • Handle: RePEc:spr:comgts:v:4:y:2005:i:4:p:339-351
    DOI: 10.1007/s10287-005-0038-9
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    File URL: http://hdl.handle.net/10.1007/s10287-005-0038-9
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    Citations

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    Cited by:

    1. 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.
    2. repec:spr:compst:v:77:y:2013:i:3:p:345-356 is not listed on IDEAS
    3. 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.
    4. 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.
    5. repec:pal:jorsoc:v:68:y:2017:i:7:d:10.1057_jors.2016.21 is not listed on IDEAS
    6. 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.

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