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- W4297816694 abstract "In this paper we consider a generalization of the Markowitz's Mean-Variance model under linear transaction costs and cardinality constraints. The cardinality constraints are used to limit the number of assets in the optimal portfolio. The generalized model is formulated as a mixed integer quadratic programming (MIP) problem. The purpose of this paper is to investigate a continuous approach based on difference of convex functions (DC) programming for solving the MIP model. The preliminary comparative results of the proposed approach versus CPLEX are presented." @default.
- W4297816694 created "2022-10-01" @default.
- W4297816694 creator A5053860549 @default.
- W4297816694 date "2014-04-12" @default.
- W4297816694 modified "2023-10-17" @default.
- W4297816694 title "A Continuous Optimization Approach for the Financial Portfolio Selection under Discrete Asset Choice Constraints" @default.
- W4297816694 doi "https://doi.org/10.48550/arxiv.1404.3286" @default.
- W4297816694 hasPublicationYear "2014" @default.
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