dc.creator | Castro Jiménez, Francisco Jesús | |
dc.creator | Gago Vargas, Manuel Jesús | |
dc.creator | Hartillo Hermoso, Isabel | |
dc.creator | Puerto Albandoz, Justo | |
dc.creator | Ucha Enríquez, José María | |
dc.date.accessioned | 2015-03-27T08:20:48Z | |
dc.date.available | 2015-03-27T08:20:48Z | |
dc.date.issued | 2011-05-01 | |
dc.identifier.issn | 0377-2217 | es |
dc.identifier.uri | http://hdl.handle.net/11441/23602 | |
dc.description.abstract | 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. | es |
dc.description.sponsorship | Universidad de Sevilla P06-FQM-01366 | es |
dc.description.sponsorship | Junta de Andalucía (Plan Andaluz de Investigación) FQM-333 | es |
dc.description.sponsorship | Ministerio de Ciencia e Innovación (España) MTM2007-64509 | es |
dc.description.sponsorship | Instituto de Matemáticas de la Universidad de Sevilla MTM2007-67433-C02-01 | es |
dc.format | application/pdf | es |
dc.language.iso | eng | es |
dc.relation.ispartof | European Journal of Operational Research, 210, 647-659. | es |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/ | * |
dc.subject | Portfolio | es |
dc.subject | Non-Linear Integer Programming | es |
dc.subject | Gröbner Bases | es |
dc.title | An algebraic approach to Integer Portfolio problems | es |
dc.type | info:eu-repo/semantics/article | es |
dcterms.identifier | https://ror.org/03yxnpp24 | |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | es |
dc.contributor.affiliation | Universidad de Sevilla. Departamento de Álgebra | es |
dc.relation.projectID | P06-FQM-01366 | es |
dc.relation.projectID | MTM2007-64509 | es |
dc.relation.projectID | FQM-333 | es |
dc.relation.projectID | MTM2007-67433-C02-01 | es |
dc.relation.publisherversion | 10.1016/j.ejor.2010.11.007 | es |
dc.journaltitle | European Journal of Operational Research | es |
dc.publication.volumen | 210 | es |
dc.publication.initialPage | 647 | es |
dc.publication.endPage | 659 | es |
dc.identifier.idus | https://idus.us.es/xmlui/handle/11441/23602 | |