Exact method for generating efficient solutions to constrained portfolio assets selection

Abstract : The problem of portfolio selection is one of the most popular areas in Finance. In this work, we will rely on the theory of Harry Markowitz, and the works of Ralph Steuer] for a quad-lin bi-objective mixed integer model. Next, we will propose an exact method for its resolution based on the conjugate gradient, and the cutting efficiency of Chergui et al. as well as new exploration strategy of problems generated in the branches. The proposed algorithm will also be applied to different cardinality constraint conditions, for different market indices.
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Conference papers
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https://hal-imt.archives-ouvertes.fr/hal-01556308
Contributor : Madani Bezoui <>
Submitted on : Tuesday, July 4, 2017 - 11:39:05 PM
Last modification on : Wednesday, July 5, 2017 - 1:05:24 AM

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  • HAL Id : hal-01556308, version 1

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Madani Bezoui, Moulaï Mustapha. Exact method for generating efficient solutions to constrained portfolio assets selection. INTERNATIONAL CONFERENCE ON COMPUTATIONAL AND EXPERIMENTAL SCIENCE AND ENGINEERING (ICCESEN), Oct 2014, Antalya, Turkey. ⟨hal-01556308⟩

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