TY - JOUR
T1 - A distributed computation algorithm for solving portfolio problems with integer variables
AU - Li, Han-Lin
AU - Tsai, Jung Fa
PY - 2008/4/16
Y1 - 2008/4/16
N2 - 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 m 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.
AB - 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 m 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.
KW - Convex
KW - Finance
KW - Portfolio
KW - Quadratic integer program
UR - http://www.scopus.com/inward/record.url?scp=35348964598&partnerID=8YFLogxK
U2 - 10.1016/j.ejor.2007.02.010
DO - 10.1016/j.ejor.2007.02.010
M3 - Article
AN - SCOPUS:35348964598
VL - 186
SP - 882
EP - 891
JO - European Journal of Operational Research
JF - European Journal of Operational Research
SN - 0377-2217
IS - 2
ER -