上海大学学报（英文版）
上海大學學報（英文版）
상해대학학보（영문판）
JOURNAL OF SHANGHAI UNIVERSITY (ENGLISH EDITION)
2008年
1期
26-30
,共5页
牛淑芬%王国欣%孙小玲
牛淑芬%王國訢%孫小玲
우숙분%왕국흔%손소령
portfolio optimization%discrete multi-factor model%Lagrangian relaxation and continuous relaxation%branch-and-bound method.
In this paper, a new branch-and-bound algorithm based on the Lagrangian dual relaxation and continuous relaxationis proposed for discrete multi-factor portfolio selection model with roundlot restriction in financial optimization. This discreteportfolio model is of integer quadratic programming problems. The separable structure of the model is investigated by usingLagrangian relaxation and dual search. Computational results show that the algorithm is capable of solving real-world portfolioproblems with data from US stock market and randomly generated test problems with up to 120 securities.
