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An empirical study on discrete optimization models for portfolio selection

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  • In this paper, we investigate four discrete optimization models arising from single period portfolio selection: Mean-variance model, mean-absolute-deviation model, minimax model and conditional Value-at-Risk model. These four models are established by considering the minimal transaction unit and the cardinality constraint in real-world investment practice. Extensive computational results are reported to compare the features of the models. We evaluate the performance of the models by analyzing the in-sample and out-of-sample numerical results with real data from Shanghai Stock Exchange.
    Mathematics Subject Classification: Primary: 91B28; 90C10; Secondary: 90C11.

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