Complex portfolio selection via convex mixed-integer quadratic programming: a survey.
Luca MencarelliClaudia D'AmbrosioPublished in: Int. Trans. Oper. Res. (2019)
Keyphrases
- quadratic program
- quadratic programming
- mixed integer
- portfolio selection
- convex hull
- linear programming
- linear program
- convex optimization
- interior point methods
- lot sizing
- feasible solution
- approximation algorithms
- linear constraints
- cutting plane
- ls svm
- financial markets
- robust optimization
- optimal solution
- bayesian networks
- particle swarm optimization
- training set
- objective function