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The Engineering Economist
A Journal Devoted to the Problems of Capital Investment
Volume 64, 2019 - Issue 3: Special Issue on Nonconvex Portfolio Optimization; Guest Editor: Dessislava Pachamanova and Saurabh Bansal
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Technical Notes

Using column generation to solve extensions to the Markowitz model

Lorenz M. RoebersDepartment of Econometrics and Operations Research, Tilburg University, Tilburg, The NetherlandsORCID Iconhttp://orcid.org/0000-0003-3322-3342View further author information
ORCID Icon,
Aras SelviDepartment of Econometrics and Operations Research, Tilburg University, Tilburg, The NetherlandsCorrespondence[email protected]
ORCID Iconhttp://orcid.org/0000-0001-7019-3635View further author information
ORCID Icon &
Juan C. VeraDepartment of Econometrics and Operations Research, Tilburg University, Tilburg, The NetherlandsORCID Iconhttp://orcid.org/0000-0003-1394-3422View further author information
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Pages 275-288 | Published online: 22 Jul 2019

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