Using column generation to solve extensions to the Markowitz model
File(s)
Author(s)
Roebers, Lorenz M
Selvi, Aras
Vera, Juan C
Type
Journal Article
Abstract
We introduce a solution scheme for portfolio optimization problems with cardinality constraints. Typical portfolio optimization problems are extensions of the classical Markowitz mean–variance portfolio optimization model. We solve such types of problems using a method similar to column generation. In this scheme, the original problem is restricted to a subset of the assets resulting in a master convex quadratic problem. Then the dual information of the master problem is used in a subproblem to propose more assets to consider. We also consider other extensions to the Markowitz model to diversify the portfolio selection within given intervals for active weights.
Date Issued
2019
Date Acceptance
2019-07-01
Citation
The Engineering Economist, 2019, 64 (3), pp.275-288
ISSN
0013-791X
Publisher
Taylor and Francis Group
Start Page
275
End Page
288
Journal / Book Title
The Engineering Economist
Volume
64
Issue
3
Copyright Statement
2019 The Author(s). Published with license by Taylor & Francis Group, LLC
This is an Open Access article distributed under the terms of the Creative Commons Attribution-NonCommercial-NoDerivatives License
(http://creativecommons.org/licenses/by-nc-nd/4.0/), which permits non-commercial re-use, distribution, and reproduction in any medium,
provided the original work is properly cited, and is not altered, transformed, or built upon in any way
This is an Open Access article distributed under the terms of the Creative Commons Attribution-NonCommercial-NoDerivatives License
(http://creativecommons.org/licenses/by-nc-nd/4.0/), which permits non-commercial re-use, distribution, and reproduction in any medium,
provided the original work is properly cited, and is not altered, transformed, or built upon in any way
Identifier
http://dx.doi.org/10.1080/0013791x.2019.1636439
Publication Status
Published
Date Publish Online
2019-07-22