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A distributed computation algorithm for solving portfolio problems with integer variables

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  • Li, Han-Lin
  • Tsai, Jung-Fa

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  • Li, Han-Lin & Tsai, Jung-Fa, 2008. "A distributed computation algorithm for solving portfolio problems with integer variables," European Journal of Operational Research, Elsevier, vol. 186(2), pages 882-891, April.
    • Handle: RePEc:eee:ejores:v:186:y:2008:i:2:p:882-891
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    References listed on IDEAS

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    1. Li, Han-Lin & Chang, Ching-Ter, 1998. "An approximate approach of global optimization for polynomial programming problems," European Journal of Operational Research, Elsevier, vol. 107(3), pages 625-632, June.
    2. Sharpe, William F., 1971. "A Linear Programming Approximation for the General Portfolio Analysis Problem," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 6(5), pages 1263-1275, December.
    3. Marshall L. Fisher, 1981. "The Lagrangian Relaxation Method for Solving Integer Programming Problems," Management Science, INFORMS, vol. 27(1), pages 1-18, January.
    4. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    5. Hiroshi Konno & Hiroaki Yamazaki, 1991. "Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market," Management Science, INFORMS, vol. 37(5), pages 519-531, May.
    6. Stone, Bernell K., 1973. "A Linear Programming Formulation of the General Portfolio Selection Problem†," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 8(4), pages 621-636, September.
    7. Li, Han-Lin & Chang, Ching-Ter & Tsai, Jung-Fa, 2002. "Approximately global optimization for assortment problems using piecewise linearization techniques," European Journal of Operational Research, Elsevier, vol. 140(3), pages 584-589, August.
    8. Martin R. Young, 1998. "A Minimax Portfolio Selection Rule with Linear Programming Solution," Management Science, INFORMS, vol. 44(5), pages 673-683, May.
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    Cited by:

    1. Francesco Catalano & Laura Nasello & Daniel Guterding, 2024. "Quantum Computing Approach to Realistic ESG-Friendly Stock Portfolios," Risks, MDPI, vol. 12(4), pages 1-20, April.
    2. Castro, F. & Gago, J. & Hartillo, I. & Puerto, J. & Ucha, J.M., 2011. "An algebraic approach to integer portfolio problems," European Journal of Operational Research, Elsevier, vol. 210(3), pages 647-659, May.
    3. Rafael Rodríguez & Mariano Luque & Mercedes González, 2011. "Portfolio selection in the Spanish stock market by interactive multiobjective programming," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 19(1), pages 213-231, July.
    4. Fereshteh Vaezi & Seyed Jafar Sadjadi & Ahmad Makui, 2019. "A portfolio selection model based on the knapsack problem under uncertainty," PLOS ONE, Public Library of Science, vol. 14(5), pages 1-19, May.

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