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January  2009, 5(1): 33-46. doi: 10.3934/jimo.2009.5.33

An empirical study on discrete optimization models for portfolio selection

1. 

Department of Mathematics, Shanghai University, Shanghai 200444, China

2. 

School of Management, Fudan University, Shanghai 200433

3. 

Business School, Shanghai Institute of Foreign Trade, Shanghai 201100, China

Received  April 2008 Revised  October 2008 Published  December 2008

In this paper, we investigate four discrete optimization models arising from single period portfolio selection: Mean-variance model, mean-absolute-deviation model, minimax model and conditional Value-at-Risk model. These four models are established by considering the minimal transaction unit and the cardinality constraint in real-world investment practice. Extensive computational results are reported to compare the features of the models. We evaluate the performance of the models by analyzing the in-sample and out-of-sample numerical results with real data from Shanghai Stock Exchange.
Citation: Xueting Cui, Xiaoling Sun, Dan Sha. An empirical study on discrete optimization models for portfolio selection. Journal of Industrial & Management Optimization, 2009, 5 (1) : 33-46. doi: 10.3934/jimo.2009.5.33
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