Febrianti, Werry; Sidarto, Kuntjoro Adji; Sumarti, Novriana - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-12
Portfolio optimization is an activity for balancing return and risk. In this paper, we used mean-variance (M-V) portfolio models with buy-in threshold and cardinality constraints. This model can be formulated as a mixed integer nonlinear programming (MINLP) problem. To solve this constrained...