A global optimization problem in portfolio selection.

Autor:	Bartholomew-Biggs, M., Kane, S.
Předmět:	INDUSTRIAL management OPERATIONS research INVESTMENTS SIMULATION methods & models MATHEMATICAL analysis
Zdroj:	Computational Management Science; Aug2009, Vol. 6 Issue 3, p329-345, 17p, 2 Diagrams, 4 Charts
Abstrakt:	This paper deals with the issue of buy-in thresholds in portfolio optimization using the Markowitz approach. Optimal values of invested fractions calculated using, for instance, the classical minimum-risk problem can be unsatisfactory in practice because they lead to unrealistically small holdings of certain assets. Hence we may want to impose a discrete restriction on each invested fraction y i such as y i > ymin or y i = 0. We shall describe an approach which uses a combination of local and global optimization to determine satisfactory solutions. The approach could also be applied to other discrete conditions—for instance when assets can only be purchased in units of a certain size (roundlots). [ABSTRACT FROM AUTHOR]
Databáze:	Complementary Index
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