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-Apr-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
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