Extracting from the relaxed for large-scale semi-continuous variable nondominated frontiers

Ralph Steuer (), Markus Hirschberger and Kalyanmoy Deb ()

Journal of Global Optimization, 2016, vol. 64, issue 1, 33-48

Abstract: Because of size and covariance matrix problems, computing much of anything along the nondominated frontier of a large-scale (1000–3000 securities) portfolio selection problem with semi-continuous variables is a task that has not previously been achieved. But given (a) the speed at which the nondominated frontier of a classical portfolio problem can now be computed and (b) the possibility that there might be overlaps between the nondominated frontier of the classical problem and that of the same problem but with semi-continuous variables, the paper shows how considerable amounts of the nondominated frontier of a large-scale mean-variance portfolio selection problem with semi-continuous variables can be computed in very little time. Copyright Springer Science+Business Media New York 2016

Keywords: Multiple criteria optimization; Portfolio selection; Buy-in thresholds; Nondominated frontiers; Semi-continuous variables; Parametric quadratic programming (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1007/s10898-015-0305-4

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