In this paper, the discrete mean-variance model is considered for portfolio selection under concave transaction costs. By using the Cholesky decomposition technique, the convariance matrix to obtain a separable mixed ...In this paper, the discrete mean-variance model is considered for portfolio selection under concave transaction costs. By using the Cholesky decomposition technique, the convariance matrix to obtain a separable mixed integer nonlinear optimization problem is decomposed. A brand-and-bound algorithm based on Lagrangian relaxation is then proposed. Computational results are reported for test problems with the data randomly generated and those from the US stock market.展开更多
基金supported by the National Natural Science Foundation of China (Grant Nos.70671064,70518001)
文摘In this paper, the discrete mean-variance model is considered for portfolio selection under concave transaction costs. By using the Cholesky decomposition technique, the convariance matrix to obtain a separable mixed integer nonlinear optimization problem is decomposed. A brand-and-bound algorithm based on Lagrangian relaxation is then proposed. Computational results are reported for test problems with the data randomly generated and those from the US stock market.
