Using Column Generation to Solve Extensions to the Markowitz Model [article]

Lorenz M. Roebers, Aras Selvi, Juan C. Vera
2019 arXiv   pre-print
We introduce a solution scheme for portfolio optimization problems with cardinality constraints. Typical portfolio optimization problems are extensions of the classical Markowitz mean-variance portfolio optimization model. We solve such type of problems using a method similar to column generation. In this scheme, the original problem is restricted to a subset of the assets resulting in a master convex quadratic problem. Then the dual information of the master problem is used in a sub-problem to
more » ... propose more assets to consider. We also consider other extensions to the Markowitz model to diversify the portfolio selection within the given intervals for active weights.
arXiv:1812.00093v4 fatcat:egbq7y3m4vae5dszp3hkyeztqm