Febrianti, Werry; Sidarto, Kuntjoro Adji; Sumarti, Novriana - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-12
-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 mean-variance portfolio optimization problem, we propose the use of a …