In this paper, some aspects pertinent to a proposed procedure to detect the solution of the mean-variance portfolio selection model formulated in terms of quantities as a quadratic-linear mixed-integer programming problem are made deeper. In order to do that, the penalty function method and the branch and bound method are jointly utilized.
Considerazioni sulla applicazione di un algoritmo di tipo “Branch and Bound” ad un modello a variabili miste per la selezione di portafoglio in media-varianza
CORAZZA, Marco
1991-01-01
Abstract
In this paper, some aspects pertinent to a proposed procedure to detect the solution of the mean-variance portfolio selection model formulated in terms of quantities as a quadratic-linear mixed-integer programming problem are made deeper. In order to do that, the penalty function method and the branch and bound method are jointly utilized.
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