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New algorithms for an individually selecting MR-CI program

✍ Scribed by M. Hanrath; B. Engels

Book ID
108430624
Publisher
Elsevier Science
Year
1997
Tongue
English
Weight
103 KB
Volume
225
Category
Article
ISSN
0301-0104

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## Abstract A mean‐variance portfolio selection model with limited diversification is formulated in which transaction and management costs are incorporated as the sum of a linear cost and a fixed cost. The problem is a fixed charge integer programming problem solved by hypersurface search using dyn