Optimal lot solution to cardinality constrained mean-variance formulation for portfolio selection

Mathematical Finance

Volumn 16, Issue 1, 2006, Pages 83-101

  Li, Duan ^a   Sun, Xialing ^b   Wang, Jun ^a  

^a CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

^b SHANGHAI UNIVERSITY   (China)

Author keywords

Cardinality constraint; Concave transaction costs; Mean variance formulation; Nonlinear integer programming; Portfolio selection

Indexed keywords

EID: 33645115548     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2006.00262.x     Document Type: Conference Paper

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