Constrained Portfolio Optimisation: The State-of-the-Art Markowitz Models

Yan Jin; Rong Qu; Jason Atkin

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Paper

Constrained Portfolio Optimisation: The State-of-the-Art Markowitz Models

Topics: Optimization in Finance

In Proceedings of 5th the International Conference on Operations Research and Enterprise Systems ICORES - Volume 1, 388-395, 2016 , Rome, Italy

Authors: Yan Jin ; Rong Qu and Jason Atkin

Affiliation: The University of Nottingham, United Kingdom

Keyword(s): Constrained Portfolio Optimization, Mean-variance, Cardinality, Pre-assignment, Round-lot, Class.

Related Ontology Subjects/Areas/Topics: Methodologies and Technologies ; Operational Research ; Optimization in Finance

Abstract: This paper studies the state-of-art constrained portfolio optimization models, using exact solver to identify the optimal solutions or lower bound for the benchmark instances at the OR-library with extended constraints. The effects of pre-assignment, round-lot, and class constraints based on the quantity and cardinality constrained Markowitz model are firstly investigated to gain insights of increased problem difficulty, followed by the analysis of various constraint settings including those mostly studied in the literature. The study aims to provide useful guidance for future investigations in computational algorithms.

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Paper citation in several formats:

Jin, Y., Qu, R., Atkin and J. (2016). Constrained Portfolio Optimisation: The State-of-the-Art Markowitz Models. In Proceedings of 5th the International Conference on Operations Research and Enterprise Systems - ICORES; ISBN 978-989-758-171-7; ISSN 2184-4372, SciTePress, pages 388-395. DOI: 10.5220/0005758303880395

@conference{icores16,
author={Yan Jin and Rong Qu and Jason Atkin},
title={Constrained Portfolio Optimisation: The State-of-the-Art Markowitz Models},
booktitle={Proceedings of 5th the International Conference on Operations Research and Enterprise Systems - ICORES},
year={2016},
pages={388-395},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0005758303880395},
isbn={978-989-758-171-7},
issn={2184-4372},
}

TY - CONF

JO - Proceedings of 5th the International Conference on Operations Research and Enterprise Systems - ICORES
TI - Constrained Portfolio Optimisation: The State-of-the-Art Markowitz Models
SN - 978-989-758-171-7
IS - 2184-4372
AU - Jin, Y.
AU - Qu, R.
AU - Atkin, J.
PY - 2016
SP - 388
EP - 395
DO - 10.5220/0005758303880395
PB - SciTePress