2010/04/06 by F. Castro, J. Gago, Castro, F. +8 · 1 citation
Decision Sciences · Economics, Econometrics and Finance · Engineering · Mathematics · #13P25 (Secondary) #90C10 #90C30 #91G10 (Primary) #Commutative Algebra (math.AC) #FOS: Mathematics #Optimization and Control (math.OC) #Reservoir Engineering and Simulation Methods #Risk and Portfolio Optimization #Stochastic processes and financial applications #math.AC #math.OC #msc:13P25 #msc:90C10 #msc:90C30 #msc:91G10
paper · pdf · doi:10.48550/arxiv.1004.0905
20 pages, with an appendix
arxiv created 2010/04/06 · openalex publication_date 2010/04/06 · arxiv updated 2010/04/07 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
Integer variables allow the treatment of some portfolio optimization problems in a more realistic way and introduce the possibility of adding some natural features to the model. We propose an algebraic approach to maximize the expected return under a given admissible level of risk measured by the covariance matrix. To reach an optimal portfolio it is an essential ingredient the computation of different test sets (via Gröbner basis) of linear subproblems that are used in a dual search strategy.