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.
Selecting mean-variance portfolio by non-linear mixed-integer programming methods
CORAZZA, Marco
1994-01-01
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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