Constrained portfolio optimisation: the state-of-the-art Markowitz models
This paper studies the state-of-art constrained portfolio optimisation models, using exact solver to identify the optimal solutions or lower bound for the benchmark instances at the OR-library with extended constraints. The effects of pre-assignment, round-lot, and class constraints based on the qua...
| Main Authors: | , , |
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| Format: | Conference or Workshop Item |
| Language: | English |
| Published: |
2016
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| Online Access: | http://eprints.nottingham.ac.uk/33887/ http://eprints.nottingham.ac.uk/33887/ http://eprints.nottingham.ac.uk/33887/1/ICORES16mv.pdf |