Abstract
We introduce a solution scheme for portfolio optimization problems with cardinality constraints. Typical portfolio optimization problems are extensions of the classical Markowitz mean-variance portfolio optimization model. We solve such types of problems using a method similar to column generation. In this scheme, the original problem is restricted to a subset of the assets resulting in a master convex quadratic problem. Then the dual information of the master problem is used in a subproblem to propose more assets to consider. We also consider other extensions to the Markowitz model to diversify the portfolio selection within given intervals for active weights.
Original language | English |
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Pages (from-to) | 275-288 |
Journal | The Engineering Economist |
Volume | 64 |
Issue number | 3 |
DOIs | |
Publication status | Published - Jul 2019 |