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Journal of Shanghai University（Natural Science Edition）

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Discrete Portfolio Optimization with Industry Constraints -and Transaction Cost

WANG Guo-xin,SHEN Qiu-ying,SUN Xiao-ling   

  1. School of Sciences, Shanghai University, Shanghai 200444， China
  • Received:2006-10-24 Revised:1900-01-01 Online:2007-12-20 Published:2007-12-20
  • Contact: SUN Xiao-ling

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Abstract:

We consider the discrete single-factor portfolio selection model with industry constraints and concave transaction cost. This model is a nonlinear integer programming problem. A hybrid branch-and-bound method based on Lagrangian relaxation and continuous relaxation is proposed for this model. Computational experiments are carried out with data both from the realworld stock market and generated randomly.

Key words: branch-and-bound method

, continuous relaxation, Lagrangian relaxation, singlefactor model, transaction cost,

portfolio optimization