An exact algorithm for small-cardinality constrained portfolio optimisation

Authors

Matthew J. Craven, School of Engineering, Computing and Mathematics
David I. Graham

ORCID

• Matthew J. Craven: 0000-0001-9522-6173

DOI

10.1080/01605682.2020.1718019

Publication Date

2020-02-13

Publication Title

Journal of the Operational Research Society

ISSN

0160-5682

Embargo Period

2021-02-12

First Page

1

Last Page

17

Recommended Citation

Craven, M., & Graham, D. (2020) 'An exact algorithm for small-cardinality constrained portfolio optimisation', Journal of the Operational Research Society, , pp. 1-17. Available at: 10.1080/01605682.2020.1718019