A global optimization problem in portfolio selection

被引：13

作者：

Bartholomew-Biggs M.C. ^{[1
]}

Kane S.J. ^{[1
]}

机构：

[1] School of Physics Astronomy and Mathematics, University of Hertfordshire

来源：

Computational Management Science | 2009年 / 6卷 / 3期

关键词：

Buy-in thresholds; Global optimization; Mixed-integer optimization; Portfolio selection; Roundlots;

D O I：

10.1007/s10287-006-0038-4

中图分类号：

学科分类号：

摘要：

This paper deals with the issue of buy-in thresholds in portfolio optimization using the Markowitz approach. Optimal values of invested fractions calculated using, for instance, the classical minimum-risk problem can be unsatisfactory in practice because they lead to unrealistically small holdings of certain assets. Hence we may want to impose a discrete restriction on each invested fraction yi such as yi > ymin or yi = 0. We shall describe an approach which uses a combination of local and global optimization to determine satisfactory solutions. The approach could also be applied to other discrete conditions - for instance when assets can only be purchased in units of a certain size (roundlots). © Springer-Verlag 2007.

引用

页码：329 / 345

页数：16

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