An algorithm for portfolio optimization problem

Informatica

Volumn 16, Issue 1, 2005, Pages 93-106

  Kim, Jong Soo ^a   Kim, Yong Chan ^b   Shin, Ki Young ^b  

^a Hanyang University   (South Korea)

^b Hanyang University   (South Korea)

Author keywords

Integer programming; MAD; Portfolio

Indexed keywords

EID: 21244493291     PISSN: 08684952     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (12)

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3. Konno, H., and A. Wijayanayake (2001). Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints. Mathematical Programming, 99, 287-304.
4. Mansini, R. (1997). Mixed Integer Linear Programming Models for Financial Problems: Analysis, Algorithms and Computational Results. PhD Thesis, Bergamo University (in Italy).
5. Mansini, R., W. Ogryczak and M.G. Speranza (2003). LP solvable models for portfolio optimization. IMA Journal of Management Mathematics, 14, 187-220.
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9. Satchell, S.E., and A.E. Scowcroft (Eds.) (2003). Advances in Portfolio Construction and Implementation. Butterworth-Heinemann, Oxford.
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11. Speranza, M.G. (1996). A heuristic algorithm for a portfolio optimization model applied to the Milan stock market. Computers and Operations Research, 23, 433-441.
12. Zenios, S.A., and P. Kang (1993). Mean-absolute deviation portfolio optimization for mortgage-backed securities. Annals of Operations Research, 45, 433-450.