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arXiv · 1404.3286

A Continuous Optimization Approach for the Financial Portfolio Selection under Discrete Asset Choice Constraints

Mahdi Moeini
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Abstract

In this paper we consider a generalization of the Markowitz's Mean-Variance model under linear transaction costs and cardinality constraints. The cardinality constraints are used to limit the number of assets in the optimal portfolio. The generalized model is formulated as a mixed integer quadratic programming (MIP) problem. The purpose of this paper is to investigate a continuous approach based on difference of convex functions (DC) programming for solving the MIP model. The preliminary comparative results of the proposed approach versus CPLEX are presented.

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Mahdi Moeini. 2014-04-12. A Continuous Optimization Approach for the Financial Portfolio Selection under Discrete Asset Choice Constraints. https://arxiv.org/abs/1404.3286

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