Highly Influential

@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} }

- Published 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

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