Download E-books A branch-and-bound algorithm for discrete multi-factor portfolio optimization model PDF

By Niu Shu-fen, Wang Guo-xin, Sun Xiao-ling

During this paper, a brand new branch-and-bound set of rules according to the Lagrangian twin rest and non-stop leisure is proposed for discrete multi-factor portfolio choice version with roundlot limit in monetary optimization. This discrete portfolio version is of integer quadratic programming difficulties. The separable constitution of the version is investigated by utilizing Lagrangian rest and twin seek. Computational effects express that the set of rules is able to fixing real-world portfolio issues of info from US inventory industry and randomly generated try issues of as much as one hundred twenty securities.

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