Concepedia

Quadratic programming for portfolio planning: Insights into algorithmic and computational issues Part II — Processing of portfolio planning models with discrete constraints

Gautam Mitra, Frank Ellison, Alan Scowcroft

Journal of Asset Management · 2007 · 20 citations · 6 references

References

6

Branch-and-Bound Methods: A Survey

Eugene L. Lawler, Derek Wood · Operations Research · 1966 · 2K citations

Natural Sciences, Computer Science, Algorithms +14

An Automatic Method of Solving Discrete Programming Problems

A. H. Land, A. G. Doig · Econometrica · 1960 · 1.9K citations

Natural Sciences, Computer Science, Mathematics +9

Integer and Nonlinear Programming

B. V. Shah, J. Abadie · Technometrics · 1971 · 311 citations

Natural Sciences, Mathematics, Algorithms +11

Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints

Norbert Jobst, M.D. Horniman, C. Lucas et al. · Quantitative Finance · 2001 · 240 citations

Business, Economics, Finance +17

Integer and Nonlinear Programming

Babubhai V. Shah · Technometrics · 1971 · 184 citations

Natural Sciences, Mathematics, Algorithms +11