On the existence of solutions to the quadratic mixed-integer mean-variance portfolio selection problem

European Journal of Operational Research

Volumn 176, Issue 3, 2007, Pages 1947-1960

  Corazza, Marco ^a   Favaretto, Daniela ^a  

^a CA' FOSCARI UNIVERSITY OF VENICE   (Italy)

Author keywords

Finance; Finite divisibility of financial assets; Mean variance portfolio selection problem; Quadratic mixed integer programming

Indexed keywords

FINITE DIVISIBILITY OF FINANCIAL ASSETS; MEAN-VARIANCE PORTFOLIO SELECTION PROBLEM; QUADRATIC MIXED-INTEGER PROGRAMMING;

COMPUTATIONAL METHODS; INTEGER PROGRAMMING; NUMBER THEORY; PROBLEM SOLVING;

QUADRATIC PROGRAMMING;

EID: 33750027373     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2005.10.053     Document Type: Article

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