Quadratic programming for portfolio planning: Insights into algorithmic and computational issues Part II — Processing of portfolio planning models with discrete constraints

Gautam Mitra (), Frank Ellison and Alan Scowcroft
Additional contact information
Gautam Mitra: CARISMA — The Centre for the Analysis of Risk Optimisation Modelling Applications, Brunel University

Journal of Asset Management, 2007, vol. 8, issue 4, No 4, 249-258

Abstract: Abstract Convex quadratic programming as applied to portfolio planning is established and well understood. In this paper, presented in two parts, we highlight the importance of choosing an algorithm that processes a family of problems efficiently. In Part I (published in issue 8/3), in particular, we described an adaptation of the simplex method for Quadratic Programming (QP). The method not only takes advantage of the sparse features of simplex, the use of the duality property makes it ideally suited for processing the discrete optimisation models. Part II of the paper considers a family of discrete QP formulations of the portfolio problem, which capture threshold constraints and cardinality restrictions. We describe the adaptation a novel method ‘branch, fix and relax’ to process this class of models efficiently. Theory and computational results are presented.

Keywords: quadratic mixed integer program; threshold constraint; cardinality constraint; branch and bound; tree search; branch fix and relax (search for similar items in EconPapers)
Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://link.springer.com/10.1057/palgrave.jam.2250079 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

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:pal:assmgt:v:8:y:2007:i:4:d:10.1057_palgrave.jam.2250079

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/41260

DOI: 10.1057/palgrave.jam.2250079

Access Statistics for this article

Journal of Asset Management is currently edited by Marielle de Jong and Dan diBartolomeo

More articles in Journal of Asset Management from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().