Using column generation to solve extensions to the Markowitz model

0Citations
Citations of this article
25Readers
Mendeley users who have this article in their library.

Abstract

We introduce a solution scheme for portfolio optimization problems with cardinality constraints. Typical portfolio optimization problems are extensions of the classical Markowitz mean–variance portfolio optimization model. We solve such types of problems using a method similar to column generation. In this scheme, the original problem is restricted to a subset of the assets resulting in a master convex quadratic problem. Then the dual information of the master problem is used in a subproblem to propose more assets to consider. We also consider other extensions to the Markowitz model to diversify the portfolio selection within given intervals for active weights.

Cite

CITATION STYLE

APA

Roebers, L. M., Selvi, A., & Vera, J. C. (2019). Using column generation to solve extensions to the Markowitz model. Engineering Economist, 64(3), 275–288. https://doi.org/10.1080/0013791X.2019.1636439

Register to see more suggestions

Mendeley helps you to discover research relevant for your work.

Already have an account?

Save time finding and organizing research with Mendeley

Sign up for free