Castro, F.; Gago, J.; Hartillo, I.; Puerto, J.; Ucha, J.M. - In: European Journal of Operational Research 210 (2011) 3, pp. 647-659
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. We propose an algebraic approach to maximize the expected return under a given admissible level of risk measured by...