Constrained portfolio optimisation: the state-of-the-art Markowitz models

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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...

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Bibliographic Details
Main Authors:	Jin, Yan, Qu, Rong, Atkin, Jason
Format:	Conference or Workshop Item
Published:	2016
Online Access:	https://eprints.nottingham.ac.uk/33887/

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