The Solution of an Integer Problem Based on Geometric Method
This paper studies the integer solution of the Markowitz mean-variance model. To avoid solving the quadratic equation with constraints directly, it uses geometric linear approximate method, and gives a practical and effective calculation method. Then it conducts the corresponding calculations regard...
Gespeichert in:
Veröffentlicht in: | Applied Mechanics and Materials 2014-01, Vol.496-500 (Frontiers of Manufacturing and Design Science IV), p.2852-2856 |
---|---|
Hauptverfasser: | , , , |
Format: | Artikel |
Sprache: | eng |
Schlagworte: | |
Online-Zugang: | Volltext |
Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
Zusammenfassung: | This paper studies the integer solution of the Markowitz mean-variance model. To avoid solving the quadratic equation with constraints directly, it uses geometric linear approximate method, and gives a practical and effective calculation method. Then it conducts the corresponding calculations regarding the real data, and reaches an optimal solution while the time of calculations is largely reduced, compared to the direct way and the algebraic approach. |
---|---|
ISSN: | 1660-9336 1662-7482 1662-7482 |
DOI: | 10.4028/www.scientific.net/AMM.496-500.2852 |