標題: | A distributed computation algorithm for solving portfolio problems with integer variables |
作者: | Li, Han-Lin Tsai, Jung-Fa 資訊管理與財務金融系 註:原資管所+財金所 Department of Information Management and Finance |
關鍵字: | finance;portfolio;quadratic integer program;convex |
公開日期: | 16-四月-2008 |
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 rn 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. (c) 2007 Elsevier B.V. All rights reserved. |
URI: | http://dx.doi.org/10.1016/j.ejor.2007.02.010 http://hdl.handle.net/11536/9448 |
ISSN: | 0377-2217 |
DOI: | 10.1016/j.ejor.2007.02.010 |
期刊: | EUROPEAN JOURNAL OF OPERATIONAL RESEARCH |
Volume: | 186 |
Issue: | 2 |
起始頁: | 882 |
結束頁: | 891 |
顯示於類別: | 期刊論文 |