University of Hertfordshire Research Archive

        JavaScript is disabled for your browser. Some features of this site may not work without it.

        Browse

        All of UHRABy Issue DateAuthorsTitlesThis CollectionBy Issue DateAuthorsTitles

        Arkivum Files

        My Downloads
        View Item 
        • UHRA Home
        • University of Hertfordshire
        • Research publications
        • View Item
        • UHRA Home
        • University of Hertfordshire
        • Research publications
        • View Item

        A global optimization problem in portfolio selection

        View/Open
        901025.pdf (PDF, 74Kb)
        Author
        Bartholomew-Biggs, M.
        Kane, S.J.
        Attention
        2299/3644
        Abstract
        This paper deals with the issue of buy-in thresholds in portfolio optimization using the Markowitz approach. Optimal values of invested fractions calculated using, for instance, the classical minimum-risk problem can be unsatisfactory in practice because they lead to unrealistically small holdings of certain assets. Hence we may want to impose a discrete restriction on each invested fraction y i such as y i > y min or y i = 0. We shall describe an approach which uses a combination of local and global optimization to determine satisfactory solutions. The approach could also be applied to other discrete conditions—for instance when assets can only be purchased in units of a certain size (roundlots).
        Publication date
        2009
        Published in
        Computational Management Science
        Published version
        https://doi.org/10.1007/s10287-006-0038-4
        Other links
        http://hdl.handle.net/2299/3644
        Metadata
        Show full item record
        Keep in touch

        © 2019 University of Hertfordshire

        I want to...

        • Apply for a course
        • Download a Prospectus
        • Find a job at the University
        • Make a complaint
        • Contact the Press Office

        Go to...

        • Accommodation booking
        • Your student record
        • Bayfordbury
        • KASPAR
        • UH Arts

        The small print

        • Terms of use
        • Privacy and cookies
        • Criminal Finances Act 2017
        • Modern Slavery Act 2015
        • Sitemap

        Find/Contact us

        • T: +44 (0)1707 284000
        • E: ask@herts.ac.uk
        • Where to find us
        • Parking
        • hr
        • qaa
        • stonewall
        • AMBA
        • ECU Race Charter
        • disability confident
        • AthenaSwan