An Integer Programming Algorithm for Portfolio Selection
- 1 June 1974
- journal article
- Published by Institute for Operations Research and the Management Sciences (INFORMS) in Management Science
- Vol. 20 (10) , 1376-1384
- https://doi.org/10.1287/mnsc.20.10.1376
Abstract
A mean-variance portfolio selection model suitable for the small investor is formulated as a sequence of quadratic integer programming problems. The special structure of these quadratic problems is exploited in a partial enumeration algorithm which uses cutting planes to accelerate convergence. Computational experience is reported on problems ranging in size from fifteen to fifty variables.Keywords
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