University of Hertfordshire

By the same authors

A global optimization problem in portfolio selection

Research output: Contribution to journalArticlepeer-review


View graph of relations
Original languageEnglish
Pages (from-to)329-345
JournalComputational Management Science
Publication statusPublished - 2009


This paper deals with the issue of buy-in thresholds in portfolio optimization using the Markowitz approach. Optimal values of invested fractions calculated using, for instance, the classical minimum-risk problem can be unsatisfactory in practice because they lead to unrealistically small holdings of certain assets. Hence we may want to impose a discrete restriction on each invested fraction y i such as y i > y min or y i = 0. We shall describe an approach which uses a combination of local and global optimization to determine satisfactory solutions. The approach could also be applied to other discrete conditions—for instance when assets can only be purchased in units of a certain size (roundlots).


“The original publication is available at”. Copyright Springer. DOI: 10.1007/s10287-006-0038-4

ID: 172230