A dual ascent method for the portfolio selection problem with multiple constraints and linked proposals

Portfolio selection is an important but complicated topic in finance. This paper uses quadratic and integer programming methods (dual ascent, branch-and-bound) to solve portfolio selection problems involving risk (variance), return, multiple restrictions (constraints), and proposals that are linked in various ways. A detailed description of the methodology is provided, along with extensive computational results on a variety of problems. (C) 1998 Elsevier Science B.V.