A dual ascent method for the portfolio selection problem with multiple constraints and linked proposals

European Journal of Operational Research

Volumn 108, Issue 1, 1998, Pages 196-207

  Syam, Siddhartha S ^a  

^a MARQUETTE UNIVERSITY   (United States)

Author keywords

Finance; Mathematical programming; Portfolio selection; Quadratic integer programming

Indexed keywords

BUDGET CONTROL; CONSTRAINT THEORY; COSTS; DECISION THEORY; FINANCE; INTEGER PROGRAMMING; MATHEMATICAL MODELS; MATHEMATICAL PROGRAMMING; MATRIX ALGEBRA; PROBLEM SOLVING; VECTORS;

LINKED PROPOSALS; PORTFOLIO SELECTION PROBLEM; QUADRATIC PROGRAMMING;

OPERATIONS RESEARCH;

EID: 0032124076     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0377-2217(97)00048-9     Document Type: Article

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