Using column generation to solve extensions to the Markowitz model

IF 1 4区经济学 Q4 BUSINESS

Engineering Economist Pub Date : 2018-11-30 DOI:10.1080/0013791X.2019.1636439

L. Roebers, A. Selvi, Juan C. Vera

引用次数: 1

Abstract

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.

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使用列生成来解决Markowitz模型的扩展

摘要提出了一种具有基数约束的投资组合优化问题的求解方案。典型的投资组合优化问题是经典马科维茨均值-方差投资组合优化模型的扩展。我们使用类似于列生成的方法来解决这类问题。在该方案中，原始问题被限制为资产的一个子集，从而产生一个主凸二次问题。然后在子问题中利用主问题的对偶信息来提出更多需要考虑的资产。我们还考虑了对马科维茨模型的其他扩展，以在给定的主动权重区间内分散投资组合选择。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Engineering Economist ENGINEERING, INDUSTRIAL-OPERATIONS RESEARCH & MANAGEMENT SCIENCE

CiteScore

2.00

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： The Engineering Economist is a refereed journal published jointly by the Engineering Economy Division of the American Society of Engineering Education (ASEE) and the Institute of Industrial and Systems Engineers (IISE). The journal publishes articles, case studies, surveys, and book and software reviews that represent original research, current practice, and teaching involving problems of capital investment. The journal seeks submissions in a number of areas, including, but not limited to: capital investment analysis, financial risk management, cost estimation and accounting, cost of capital, design economics, economic decision analysis, engineering economy education, research and development, and the analysis of public policy when it is relevant to the economic investment decisions made by engineers and technology managers.