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.
1994
Atti del Diciottesimo Convegno A.M.A.S.E.S.
File in questo prodotto:
File Dimensione Formato  
1994-Andramonov_Corazza-Selecting_mean-variance_portfolio_by_non-linear_mixed_integer_programming_methods-AMASES.pdf

accesso aperto

Descrizione: Articolo nella sua versione finale.
Tipologia: Versione dell'editore
Licenza: Accesso libero (no vincoli)
Dimensione 7.21 MB
Formato Adobe PDF
7.21 MB Adobe PDF Visualizza/Apri

I documenti in ARCA sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10278/29734
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact