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arXiv · 1404.3329

Portfolio Selection Under Buy-In Threshold Constraints Using DC Programming and DCA

Hoai An Le Thi·Mahdi Moeini
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Abstract

In matter of Portfolio selection, we consider a generalization of the Markowitz Mean-Variance model which includes buy-in threshold constraints. These constraints limit the amount of capital to be invested in each asset and prevent very small investments in any asset. The new model can be converted into a NP-hard mixed integer quadratic programming problem. The purpose of this paper is to investigate a continuous approach based on DC programming and DCA for solving this new model. DCA is a local continuous approach to solve a wide variety of nonconvex programs for which it provided quite often a global solution and proved to be more robust and efficient than standard methods. Preliminary comparative results of DCA and a classical Branch-and-Bound algorithm will be presented. These results show that DCA is an efficient and promising approach for the considered portfolio selection problem.

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Hoai An Le Thi, Mahdi Moeini. 2014-04-12. Portfolio Selection Under Buy-In Threshold Constraints Using DC Programming and DCA. https://doi.org/10.1109/icsssm.2006.320630

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