Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: A Continuous Optimization Approach for the Financial Portfolio Selection
  under Discrete Asset Choice Constraints   In this paper we consider a generalization of the Markowitz's Mean-Variance
model under linear transaction costs and cardinality constraints. The
cardinality constraints are used to limit the number of assets in the optimal
portfolio. The generalized model is formulated as a mixed integer quadratic
programming (MIP) problem. The purpose of this paper is to investigate a
continuous approach based on difference of convex functions (DC) programming
for solving the MIP model. The preliminary comparative results of the proposed
approach versus CPLEX are presented.

15
The categories of this paper are: nucl-ex
14
The categories of this paper are: math-ph
13
The categories of this paper are: quant-ph
32
The categories of this paper are: atom-ph
20
The categories of this paper are: acc-phys
23
The categories of this paper are: solv-int
19
The categories of this paper are: eess
9
The categories of this paper are: nlin
24
The categories of this paper are: dg-ga
11
The categories of this paper are: hep-lat
21
The categories of this paper are: adap-org
37
The categories of this paper are: supr-con
25
The categories of this paper are: patt-sol
2
The categories of this paper are: math
18
The categories of this paper are: econ
16
The categories of this paper are: stat