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.
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
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