dc.contributor.author | Bartholomew-Biggs, M. | |
dc.contributor.author | Kane, S.J. | |
dc.date.accessioned | 2009-07-06T13:49:37Z | |
dc.date.available | 2009-07-06T13:49:37Z | |
dc.date.issued | 2009 | |
dc.identifier.citation | Bartholomew-Biggs , M & Kane , S J 2009 , ' A global optimization problem in portfolio selection ' , Computational Management Science , vol. 6 , no. 3 , pp. 329-345 . https://doi.org/10.1007/s10287-006-0038-4 | |
dc.identifier.issn | 1619-697X | |
dc.identifier.other | dspace: 2299/3644 | |
dc.identifier.uri | http://hdl.handle.net/2299/3644 | |
dc.description | “The original publication is available at www.springerlink.com”. Copyright Springer. DOI: 10.1007/s10287-006-0038-4 | |
dc.description.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). | en |
dc.format.extent | 76170 | |
dc.language.iso | eng | |
dc.relation.ispartof | Computational Management Science | |
dc.title | A global optimization problem in portfolio selection | en |
dc.contributor.institution | School of Physics, Astronomy and Mathematics | |
dc.contributor.institution | Science & Technology Research Institute | |
dc.description.status | Peer reviewed | |
rioxxterms.versionofrecord | 10.1007/s10287-006-0038-4 | |
rioxxterms.type | Journal Article/Review | |
herts.preservation.rarelyaccessed | true | |