An exact algorithm for factor model in portfolio selection with roundlot constraints

被引：1

作者：

Sun, X. L. ^{[1
]}

Niu, S. F. ^{[2
]}

Li, D. ^{[3
]}

机构：

[1] Fudan Univ, Sch Management, Dept Management Sci, Shanghai 200433, Peoples R China

[2] NW Normal Univ, Coll Math & Informat Sci, Lanzhou 730070, Peoples R China

[3] Chinese Univ Hong Kong, Dept Syst Engn & Engn Management, Shatin, Hong Kong, Peoples R China

来源：

OPTIMIZATION | 2009年 / 58卷 / 03期

基金：

中国国家自然科学基金;

关键词：

portfolio optimization; factor model; roundlot constraints; Lagrangian relaxation; continuous relaxation; branch-and-bound method; TRANSACTION UNIT CONSTRAINTS; MEAN-VARIANCE FORMULATION; OPTIMIZATION MODEL; COSTS; SCENARIOS; MARKET; LOTS; RISK;

D O I：

10.1080/02331930902741747

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

We consider in this article a factor model in portfolio selection with roundlot constraints. Mathematically, this model leads to a quadratic integer programming problem. We exploit the separable structure of the model in order to derive Lagrangian bounds. A branch-and-bound algorithm based on Lagrangian relaxation and continuous relaxation is then developed for solving this model. Computational results are reported for test problems with up to 150 securities.

引用

页码：305 / 318

页数：14

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