A BRANCH-AND-CUT APPROACH TO PORTFOLIO SELECTION WITH MARGINAL RISK CONTROL IN A LINEAR CONIC PROGRAMMING FRAMEWORK

Marginal risk represents the risk contribution of an individual asset to the risk of the entire portfolio In this paper, we investigate the portfolio selection problem with direct marginal risk control in a linear conic programming framework. ＇The optimization model involved is a nonconvex quadratic...

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Veröffentlicht in:	Journal of systems science and systems engineering 2013-12, Vol.22 (4), p.385-400
Hauptverfasser:	Deng, Zhibin, Bai, Yanqin, Fang, Shu-Cherng, Tian, Ye, Xing, Wenxun
Format:	Artikel
Sprache:	eng
Schlagworte:	Algorithms Applied sciences Complexity Constraints Decision theory. Utility theory Economic Theory/Quantitative Economics/Mathematical Methods Engineering Exact sciences and technology Lower bounds Mathematical programming Operational research and scientific management Operational research. Management science Operations Research/Decision Theory Optimization models Portfolio theory Quadratic programming Risk management Semidefinite programming 二次约束二次规划投资组合松弛问题框架线性组合选择选择问题风险控制
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