POLIP

library for polynomially constrained
mixed-integer programming


Name	small-investor-MVO-SNP100-return_0.0020-budget_1000-1100
Classification	c\|ii\|d2
Problem type	portfolio
Description	Small Investor Mean-Variance Portfolio Optimization small-investor-MVO-SNP100-return_0.0020-budget_1000-1100

Objective sense	min
Variables	100 (0 binary, 100 general integer, 0 continuous)
Nonlinear variables	0
Constraints	3
Nonlinear constraints	0
Linear nonzeros	201
Nonlinear nonzeros	0

Download	small-investor-MVO-SNP100-return_0.0020-budget_1000-1100.pip.gz small-investor-MVO-SNP100-return_0.0020-budget_1000-1100.gms.gz small-investor-MVO-SNP100-return_0.0020-budget_1000-1100.mod.gz
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 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.