A distributed computation algorithm for solving portfolio problems with integer variables

Han-Lin Li, Jung Fa Tsai*

*此作品的通信作者

研究成果: Article同行評審

11 引文 斯高帕斯(Scopus)

摘要

A portfolio problem with integer variables can facilitate the use of complex models, including models containing discrete asset values, transaction costs, and logical constraints. This study proposes a distributed algorithm for solving a portfolio program to obtain a global optimum. For a portfolio problem with n integer variables, the objective function first is converted into an ellipse function containing n separated quadratic terms. Next, the problem is decomposed into m equal-size separable programming problems solvable by a distributed computation system composed of m personal computers linked via the Internet. The numerical examples illustrate that the proposed method can obtain the global optimum effectively for large scale portfolio problems involving integral variables.

原文English
頁(從 - 到)882-891
頁數10
期刊European Journal of Operational Research
186
發行號2
DOIs
出版狀態Published - 16 4月 2008

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