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library for polynomially constrained
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Open  small-investor-MVO-SNP100-return_0.0035-budget_2000-2200

Namesmall-investor-MVO-SNP100-return_0.0035-budget_2000-2200
Classificationc|ii|d2
Problem typeportfolio
DescriptionSmall Investor Mean-Variance Portfolio Optimization small-investor-MVO-SNP100-return_0.0035-budget_2000-2200
Objective sensemin
Variables100  (0 binary, 100 general integer, 0 continuous)
Nonlinear variables0
Constraints3
Nonlinear constraints0
Linear nonzeros200
Nonlinear nonzeros0
Download small-investor-MVO-SNP100-return_0.0035-budget_2000-2200.pip.gz small-investor-MVO-SNP100-return_0.0035-budget_2000-2200.gms.gz small-investor-MVO-SNP100-return_0.0035-budget_2000-2200.mod.gz
Best known solution
Best known objective
Best known bound
Originator
FormulatorAndreas Karrenbauer
DonatorAndreas Karrenbauer
References
Links
Additional informationThis is a natural extension of the standard Markovitz Mean-Variance-Optimization (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.

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