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This paper introduces a novel approach to portfolio optimization that addresses the challenges of indefinite quadratic fractional programming and integer constraints. By integrating the advantages of cutting-plane and branch-and-bound techniques, our proposed algorithm efficiently navigates this challenging problem, delivering exact solutions within a reasonable computational time-frame.

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An Integer Programming Approach to Portfolio Optimization with Indefinite Quadratic Fractional Objective Function

  • 会议论文

  • 发表日期：

    2025年

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  • Yasmine Cherfaoui,
  • Fatima Fali

摘要

This paper introduces a novel approach to portfolio optimization that addresses the challenges of indefinite quadratic fractional programming and integer constraints. By integrating the advantages of cutting-plane and branch-and-bound techniques, our proposed algorithm efficiently navigates this challenging problem, delivering exact solutions within a reasonable computational time-frame.