An algebraic approach to integer portfolio problems

F. Castro, J. Gago, I. Hartillo, J. Puerto and J.M. Ucha

European Journal of Operational Research, 2011, vol. 210, issue 3, 647-659

Abstract: 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.

Keywords: Finance; Portfolio; Non-linear; integer; programming; Grobner; bases (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:210:y:2011:i:3:p:647-659

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