Integer programming approaches in mean-risk models

Hiroshi Konno, Rei Yamamoto

研究成果: Article査読

23 被引用数 (Scopus)

抄録

This paper is concerned with porfolio optimization problems with integer constraints. Such problems include, among others mean-risk problems with nonconvex transaction cost, minimal transaction unit constraints and cardinality constraints on the number of assets in a portfolio. These problems, though practically very important have been considered intractable because we have to solve nonlinear integer programming problems for which there exists no efficient algorithms. We will show that these problems can now be solved by the state-of-the-art integer programming methodologies if we use absolute deviation as the measure of risk.

本文言語English
ページ(範囲)339-351
ページ数13
ジャーナルComputational Management Science
2
4
DOI
出版ステータスPublished - 2005 11
外部発表はい

ASJC Scopus subject areas

  • 管理情報システム
  • 情報システム

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