An algebraic approach to Integer Portfolio problems

Details An algebraic approach to Integer Portfolio problems An algebraic approach to Integer Portfolio problems

2010-04-06

arxiv.org/abs/1004.0905v1

Mathematics

Optimization and Control

20 pages, with an appendix

Scientific paper

Integer variables allow the treatment of some portfolio optimization problems in a more realistic way and introduce the possibility of adding some natural features to the model. We propose an algebraic approach to maximize the expected return under a given admissible level of risk measured by the covariance matrix. To reach an optimal portfolio it is an essential ingredient the computation of different test sets (via Gr\"obner basis) of linear subproblems that are used in a dual search strategy.

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