Constrained portfolio optimisation: the state-of-the-art Markowitz models

Jin, Yan and Qu, Rong and Atkin, Jason (2016) Constrained portfolio optimisation: the state-of-the-art Markowitz models. In: The 2016 International Conference on Operations Research and Enterprise Systems, 23-25 February 2016, Rome, Italy.

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Abstract

This paper studies the state-of-art constrained portfolio optimisation models, using exact solver to identify the optimal solutions or lower bound for the benchmark instances at the OR-library with extended constraints. The effects of pre-assignment, round-lot, and class constraints based on the quantity and cardinality constrained Markowitz model are firstly investigated to gain insights of increased problem difficulty, followed by the analysis of various constraint settings including those mostly studied in the literature. The study aims to provide useful guidance for future investigations in computational algorithms

Item Type: Conference or Workshop Item (Paper)
Additional Information: Proceedings of 5th the International Conference on Operations Research and Enterprise Systems, pages 388-395. ISBN 9789897581717, DOI: 10.5220/0005758303880395
Schools/Departments: University of Nottingham UK Campus > Faculty of Science > School of Computer Science
Depositing User: Qu, Rong
Date Deposited: 10 Jun 2016 10:14
Last Modified: 14 Sep 2016 19:21
URI: http://eprints.nottingham.ac.uk/id/eprint/33887

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