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An algebraic approach to integer portfolio problems |
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| Authors: | F Castro J Gago I Hartillo J Puerto JM Ucha |
| Institution: | 1. Dpto. de Álgebra, Univ. de Sevilla, Apdo. 1160, 41080 Sevilla, Spain;2. Dpto. de Matemática Aplicada I, Univ. de Sevilla, E.T.S. de Ingenier?´a Informática, Avda. de Reina Mercedes, s/n, 41012 Sevilla, Spain;3. Dpto. de Estad?´stica e Investigación Operativa, Univ. de Sevilla, Facultad de Matemáticas, C/ Tarfia, s/n, 41012 Sevilla, Spain |
| Abstract: | Integer variables allow the treatment of some portfolio optimization problems in a more realistic way and introduce the possibility of adding some natural features to the model. |
| Keywords: | Finance Portfolio Non-linear integer programming Grö bner bases |
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