Extracting from the relaxed for large-scale semi-continuous variable nondominated frontiers

Because of non-convexities in the model, computing much of anything along the nondominated frontier of a large-scale (1000 to 3000 securities) portfolio selection problem with semi-continuous variables is a task that has not previously been achieved. But (a) given the speed at which the nondominated frontier of a classical portfolio problem can now be computed and (b) the possibility that there might be overlaps between the nondominated frontier of the classical problem and that of the same problem but with semi-continuous variables, the paper shows how considerable amounts of the nondominated frontier of a large-scale mean-variance portfolio selection problem with semicontinuous variables can be computed in very little time.