Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
478543 | European Journal of Operational Research | 2011 | 13 Pages |
Abstract
Integer variables allow the treatment of some portfolio optimization problems in a more realistic way and introduce the possibility of adding some natural features to the model.We propose an algebraic approach to maximize the expected return under a given admissible level of risk measured by the covariance matrix. To reach an optimal portfolio it is an essential ingredient the computation of different test sets (via Gröbner basis) of linear subproblems that are used in a dual search strategy.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
F. Castro, J. Gago, I. Hartillo, J. Puerto, J.M. Ucha,