| 离散多因素投资组合最优化模型的分枝定界算法 |
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| 引用本文： | 牛淑芬,王国欣,孙小玲.离散多因素投资组合最优化模型的分枝定界算法[J].上海大学学报(英文版),2008,12(1):26-30. |
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| 作者姓名： | 牛淑芬 王国欣 孙小玲 |
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| 作者单位： | Department of Mathematics, College of Sciences, Shanghai University, Shanghai 200444, P. R. China |
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| 摘 要： | In this paper, a new branch-and-bound algorithm based on the Lagrangian dual relaxation and continuous relaxation is proposed for discrete multi-factor portfolio selection model with roundlot restriction in financial optimization. This discrete portfolio model is of integer quadratic programming problems. The separable structure of the model is investigated by using Lagrangian relaxation and dual search. Computational results show that the algorithm is capable of solving real-world portfolio problems with data from US stock market and randomly generated test problems with up to 120 securities.
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| 关 键 词： | 离散投资组合 多因素模型 分支定界算法 数学分析 |
| 文章编号： | 10.1007/s11741-008-0105-3 |
| 收稿时间： | 2006-06-23 |
| 修稿时间： | 2006-10-19 |
A branch-and-bound algorithm for discrete multi-factor portfolio optimization model |
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| Shu-fen Niu,Guo-xin Wang,Xiao-ling Sun.A branch-and-bound algorithm for discrete multi-factor portfolio optimization model[J].Journal of Shanghai University(English Edition),2008,12(1):26-30. |
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| Authors: | Shu-fen Niu Guo-xin Wang Xiao-ling Sun |
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| Institution: | Department of Mathematics, College of Sciences, Shanghai University, Shanghai 200444, P. R. China |
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| Abstract: | In this paper, a new branch-and-bound algorithm based on the Lagrangian dual relaxation and continuous relaxationis proposed for discrete multi-factor portfolio selection model with roundlot restriction in financial optimization. This discreteportfolio model is of integer quadratic programming problems. The separable structure of the model is investigated by usingLagrangian relaxation and dual search. Computational results show that the algorithm is capable of solving real-world portfolioproblems with data from US stock market and randomly generated test problems with up to 120 securities. |
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| Keywords: | portfolio optimization discrete multi-factor model Lagrangian relaxation and continuous relaxation branch-and-bound method |
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