Selecting mean-variance portfolio by non-linear mixed-integer programming methods

Name: Selecting mean-variance portfolio by non-linear mixed-integer programming methods
Keywords: Mean-Variance analysis; Portfolio selection model; Transaction costs; Taxes; Limited divisibility of the assets; non-linear mixed integer programming; Sub-gradient methods; Branch and Bound methods.

Andramonov M. Y.; CORAZZA, Marco

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Conference object . 1994

Full-Text: https://iris.unive.it/bitstream/10278/29734/1/1994-Andramonov_Corazza-Selecting_mean-variance_portfolio_by_non-linear_mixed_integer_programming_methods-AMASES.pdf

Data sources: Archivio istituzionale della ricerca - Università degli Studi di Venezia Ca' Foscari

Selecting mean-variance portfolio by non-linear mixed-integer programming methods

descriptionPublicationkeyboard_double_arrow_right Conference object 01 Jan 1994 English Publisher:Pitagora Editrice

Authors: Andramonov M. Y.; CORAZZA, Marco;

handle: 10278/29734

Selecting mean-variance portfolio by non-linear mixed-integer programming methods

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Abstract

In this paper we propose a model for mean-variance portfolio selection in form of a non-linear mixed integer programming problem. We take into account the transaction costs, taxes and limited divisibility of the stocks. For finding the optimal solution, the combination of sub-gradient methods and branch and bound ones is used.

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Ca Foscari University of Venice
Italy

Keywords

Mean-Variance analysis; Portfolio selection model; Transaction costs; Taxes; Limited divisibility of the assets; non-linear mixed integer programming; Sub-gradient methods; Branch and Bound methods.

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