Computational study of a family of mixed-integer quadratic programming problems
Mathematical Programming: Series A and B
EasyLocal++: an object-oriented framework for the flexible design of local-search algorithms
Software—Practice & Experience
GALAHAD, a library of thread-safe Fortran 90 packages for large-scale nonlinear optimization
ACM Transactions on Mathematical Software (TOMS)
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The Portfolio Selection Problem [7] is amongst the most studied issues in finance. In this problem, given a universe of assets (shares, options, bonds, . . . ), we are concerned in finding out a portfolio (i.e., which asset to invest in and by how much) which minimizes the risk while ensuring a given minimum return. In the most common formulation it is required that all the asset shares have to be non-negative. Even though this requirement is a common assumption behind theoretical approaches, it is not enforced in real-markets, where the presence of short positions (i.e., assets with negative shares corresponding to speculations on falling prices) is intertwined to long positions (i.e., assets with positive shares).