科研之友
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摘要
Integer variables allow the treatment of some portfolio optimization problems in a more realistic way and introduce the possibility of adding some natural features to the model.
We propose an algebraic approach to maximize the expected return under a given admissible level of risk measured by the covariance matrix. To reach an optimal portfolio it is an essential ingredient the computation of different test sets (via Grobner basis) of linear subproblems that are used in a dual search strategy.
- 出版日期2011-5-1
