离散资产约束下金融资产组合选择的连续优化方法
A Continuous Optimization Approach for the Financial Portfolio Selection under Discrete Asset Choice Constraints
摘要：
在本文中，我们考虑推广的Markowitz的均值-方差模型下的线性交易费用和基数约束。基数约束用于限制最优投资组合中的资产数量。广义模型被配制成一个混合整数二次规划（MIP）问题。本文研究了一种基于凸函数差分（DC）规划的求解MIP模型的连续方法。所提出的方法与CPLEX的初步比较结果。
英文摘要：
In this paper we consider a generalization of the Markowitz's Mean-Variance model under linear transaction costs and cardinality constraints. The cardinality constraints are used to limit the number of assets in the optimal portfolio. The generalized model is formulated as a mixed integer quadratic programming (MIP) problem. The purpose of this paper is to investigate a continuous approach based on difference of convex functions (DC) programming for solving the MIP model. The preliminary comparative results of the proposed approach versus CPLEX are presented.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
