On the use of optimization models for portfolio selection: A review and some computational results |
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| Authors: | Panos M. Pardalos Mattias Sandström Costas Zopounidis |
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| Affiliation: | (1) Department of Industrial and Systems Engineering, University of Florida, 32611 Gainesville, FL, USA;(2) Department of Computer Science, Royal Institute of Technology (KTH), Stockholm, Sweden;(3) Department of Production Engineering and Management, Technical University of Crete, 73100 Chania, Crete, Greece |
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| Abstract: | Portfolio theory deals with the question of how to allocate resources among several competing alternatives (stocks, bonds), many of which have an unknown outcome. In this paper we provide an overview of different portfolio models with emphasis on the corresponding optimization problems. For the classical Markowitz mean-variance model we present computational results, applying a dual algorithm for constrained optimization. |
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| Keywords: | Portfolio selection bond portfolio optimization dual algorithm constraint optimization |
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