英文标题：
《Using Column Generation to Solve Extensions to the Markowitz Model》
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作者：
Lorenz M. Roebers, Aras Selvi, Juan C. Vera
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最新提交年份：
2019
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英文摘要：
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 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.
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中文摘要：
我们介绍了一种带基数约束的投资组合优化问题的解决方案。典型的投资组合优化问题是经典Markowitz均值-方差投资组合优化模型的扩展。我们使用类似于列生成的方法来解决此类问题。在该方案中，原始问题被限制为资产的子集，从而产生一个主凸二次问题。然后将主问题的对偶信息用于子问题，以提出更多需要考虑的资产。我们还考虑了对Markowitz模型的其他扩展，以在给定的主动权重区间内使投资组合选择多样化。
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分类信息：

一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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