Efficient Algorithms for Mean-variance Portfolio Optimization with Hard Real-word Constraints

@inproceedings{Cesarone2010EfficientAF,
  title={Efficient Algorithms for Mean-variance Portfolio Optimization with Hard Real-word Constraints},
  author={Francesco Cesarone and Andrea Scozzari and Fabio Tardella},
  year={2010}
}
The Markowitz mean-variance optimization model is a widely used tool for portfolio selection. However, in order to capture real world restrictions on actual investments, a Limited Asset Markowitz (LAM) model with the introduction of quantity and cardinality constraints has been considered. These two constraints have been modelled by adding binary variables… CONTINUE READING