A Continuous Optimization Approach for the Financial Portfolio Selection under Discrete Asset Choice Constraints

2014/04/12 by Mahdi Moeini, Moeini, Mahdi · 1 citation
Decision Sciences · Economics, Econometrics and Finance · #Capital Investment and Risk Analysis #Computational Engineering #Economic theories and models #FOS: Computer and information sciences #Finance #Risk and Portfolio Optimization #and Science (cs.CE)

paper · pdf · doi:10.48550/arxiv.1404.3286

openalex publication_date 2014/04/12 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this paper we consider a generalization of the Markowitz's Mean-Variance model under linear transaction costs and cardinality constraints. The cardinality constraints are used to limit the number of assets in the optimal portfolio. The generalized model is formulated as a mixed integer quadratic programming (MIP) problem. The purpose of this paper is to investigate a continuous approach based on difference of convex functions (DC) programming for solving the MIP model. The preliminary comparative results of the proposed approach versus CPLEX are presented.

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