By Niu Shu-fen, Wang Guo-xin, Sun Xiao-ling
During this paper, a brand new branch-and-bound set of rules according to the Lagrangian twin leisure and non-stop leisure is proposed for discrete multi-factor portfolio choice version with roundlot limit in monetary optimization. This discrete portfolio version is of integer quadratic programming difficulties. The separable constitution of the version is investigated by utilizing Lagrangian leisure and twin seek. Computational effects express that the set of rules is able to fixing real-world portfolio issues of facts from US inventory marketplace and randomly generated try issues of as much as one hundred twenty securities.
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A branch-and-bound algorithm for discrete multi-factor portfolio optimization model by Niu Shu-fen, Wang Guo-xin, Sun Xiao-ling