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Artículo
An algebraic approach to Integer Portfolio problems
Autor/es | Castro Jiménez, Francisco Jesús
Gago Vargas, Manuel Jesús Hartillo Hermoso, Isabel Puerto Albandoz, Justo Ucha Enríquez, José María |
Departamento | Universidad de Sevilla. Departamento de Álgebra |
Fecha de publicación | 2011-05-01 |
Fecha de depósito | 2015-03-27 |
Publicado en |
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Resumen | 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 ... 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 Gr\"obner basis) of linear subproblems that are used in a dual search strategy. |
Identificador del proyecto | P06-FQM-01366
MTM2007-64509 FQM-333 MTM2007-67433-C02-01 |
Ficheros | Tamaño | Formato | Ver | Descripción |
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portfolio_alg_els_arxiv.pdf | 305.2Kb | [PDF] | Ver/ | |