 
Name  smallinvestorMVODAX30return_0.0030budget_20002200 
Classification  ciid2 
Problem type  portfolio 
Description  Small Investor MeanVariance Portfolio Optimization smallinvestorMVODAX30return_0.0030budget_20002200 
 
Objective sense  min 
Variables  30 (0 binary, 30 general integer, 0 continuous) 
Nonlinear variables  0 
Constraints  3 
Nonlinear constraints  0 
Linear nonzeros  60 
Nonlinear nonzeros  0 
 
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Best known solution  
Best known objective  
Best known bound  
 
Originator  
Formulator  Andreas Karrenbauer 
Donator  Andreas Karrenbauer 
 
References 

Links 

 
Additional information  This is a natural extension of the standard Markovitz MeanVarianceOptimization
(MVO) model by constraints for small investors. The variables in the standard
Markovitz model determine which fraction of the investment is made in the
repective assets. When the investment is bounded within a range that is not very
much bigger than the prices of the assets, one has to take into account that
each asset has a minimum unit of which only integer multiples can be traded,
e.g. 1, 0.1, or 0.01. Hence, the optimization problem for the small investor has
integer variables in addition to the budget constraints that define lower and
upper bounds on the investment.

 