An Integer Programming Algorithm for Portfolio Selection

Bruce Faaland
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Bruce Faaland: University of Washington

Management Science, 1974, vol. 20, issue 10, 1376-1384

Abstract: A mean-variance portfolio selection model suitable for the small investor is formulated as a sequence of quadratic integer programming problems. The special structure of these quadratic problems is exploited in a partial enumeration algorithm which uses cutting planes to accelerate convergence. Computational experience is reported on problems ranging in size from fifteen to fifty variables.

Date: 1974
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