Advanced Search
Article Contents
Article Contents

An empirical study on discrete optimization models for portfolio selection

Abstract Related Papers Cited by
  • 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.


    \begin{equation} \\ \end{equation}
  • 加载中

Article Metrics

HTML views() PDF downloads(447) Cited by(0)

Access History

Other Articles By Authors



    DownLoad:  Full-Size Img  PowerPoint