Portfolio Selection: How to Integrate Complex Constraints
نویسندگان
چکیده
Portfolio Selection: How to Integrate Complex Constraints For the standard Mean-Variance model for portfolio selection with linear constraints, there are several algorithms that can efficiently compute both a single point on the Pareto front and even the whole front. Unfortunately, commonly used constraints (e.g. cardinality constraints or buy-in thresholds) result in the optimization problem to become intractable by standard algorithms. In this paper, two paradigms to deal with this kind of constraint are presented and their advantages and disadvantages are highlighted. keywords: portfolio selection, complex constraints, mixed integer quadratic programming, metaheuristic, constraint handling
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