On the existence of solutions to the quadratic mixed-integer mean-variance portfolio selection problem.
Marco CorazzaDaniela FavarettoPublished in: Eur. J. Oper. Res. (2007)
Keyphrases
- mixed integer
- feasible solution
- optimal solution
- portfolio selection
- linear program
- quadratic program
- objective function
- benders decomposition
- lot sizing
- continuous relaxation
- convex hull
- integer variables
- mixed integer program
- continuous variables
- lagrangian heuristic
- linear programming
- network design problem
- em algorithm
- learning algorithm
- utility function
- tabu search
- np hard
- special case
- genetic algorithm