Review on Reformulation of the Mean-Variance Model with Real-life Trading Restrictions

Feng Li

Asian Social Science, 2018, vol. 14, issue 1, 40

Abstract: In this paper, we consider a class of portfolio selection problems with cardinality and minimum buy-in threshold constraints in real-life which can be formulated as mixed-integer quadratic programming (MIQP). Two reformulation methods that generate the same tight continuous relaxation of original problem are compared in the context under the branch-and-bound algorithm, one is the Perspective Reformulation and another is the Lift-and-Convexification Reformulation (LCR). Computational results show that the (PC) is more competitive than the (LCR) method in terms of computing time and nodes in MIQP solver CPLEX 12.7, what's more, this outperformance becomes more obvious as the size of instances grows.

Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://ccsenet.org/journal/index.php/ass/article/download/70545/39829 (application/pdf)
https://ccsenet.org/journal/index.php/ass/article/view/70545 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ibn:assjnl:v:14:y:2018:i:1:p:40

Access Statistics for this article

More articles in Asian Social Science from Canadian Center of Science and Education Contact information at EDIRC.
Bibliographic data for series maintained by Canadian Center of Science and Education ().