Article
An algebraic approach to Integer Portfolio problems
Author/s | Castro Jiménez, Francisco Jesús
![]() ![]() ![]() ![]() ![]() ![]() ![]() Gago Vargas, Manuel Jesús ![]() ![]() ![]() ![]() ![]() ![]() ![]() Hartillo Hermoso, Isabel ![]() ![]() ![]() ![]() ![]() ![]() Puerto Albandoz, Justo ![]() ![]() ![]() ![]() ![]() ![]() ![]() Ucha Enríquez, José María ![]() ![]() ![]() ![]() ![]() ![]() ![]() |
Department | Universidad de Sevilla. Departamento de Álgebra |
Publication Date | 2011-05-01 |
Deposit Date | 2015-03-27 |
Published in |
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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 ... 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. |
Project ID. | P06-FQM-01366
![]() MTM2007-64509 ![]() FQM-333 ![]() MTM2007-67433-C02-01 ![]() |
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portfolio_alg_els_arxiv.pdf | 305.2Kb | ![]() | View/ | |