An Integer Programming Algorithm for Portfolio Selection

A mean-variance portfolio selection model suitable for the small investor is formulated as a sequence of quadratic integer programming problems. The special structure of these quadratic problems is exploited in a partial enumeration algorithm which uses cutting planes to accelerate convergence. Computational experience is reported on problems ranging in size from fifteen to fifty variables.

• 저널Management Science · 20(10) · 1376–1384
• 토픽Optimization and Packing Problems · Industrial and Manufacturing Engineering
• DOI10.1287/mnsc.20.10.1376
• 저자Bruce Faaland