By Niu Shu-fen, Wang Guo-xin, Sun Xiao-ling
During this paper, a brand new branch-and-bound set of rules in response to the Lagrangian twin rest and non-stop leisure is proposed for discrete multi-factor portfolio choice version with roundlot restrict in monetary optimization. This discrete portfolio version is of integer quadratic programming difficulties. The separable constitution of the version is investigated by utilizing Lagrangian leisure and twin seek. Computational effects convey that the set of rules is able to fixing real-world portfolio issues of facts from US inventory marketplace and randomly generated try out issues of as much as a hundred and twenty securities.
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