Algorithm for cardinality-constrained quadratic optimization

Computational Optimization and Applications

Volumn 43, Issue 1, 2009, Pages 1-22

  Bertsimas, Dimitris ^a   Shioda, Romy ^b  

^a MASSACHUSETTS INSTITUTE OF TECHNOLOGY   (United States)

^b UNIVERSITY OF WATERLOO   (Canada)

Author keywords

Branch and bound; Lemke's method; Mixed integer quadratic programming; Portfolio selection; Subset selection

Indexed keywords

BRANCH-AND-BOUND; LEMKE'S METHOD; MIXED-INTEGER QUADRATIC PROGRAMMING; PORTFOLIO SELECTION; SUBSET SELECTION;

ALGORITHMS; ASSET MANAGEMENT; COMPUTER SOFTWARE SELECTION AND EVALUATION; CONSTRAINED OPTIMIZATION; CONVEX OPTIMIZATION; INTEGER PROGRAMMING; QUADRATIC PROGRAMMING;

BRANCH AND BOUND METHOD;

EID: 67449105362     PISSN: 09266003     EISSN: 15732894     Source Type: Journal    
DOI: 10.1007/s10589-007-9126-9     Document Type: Article

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