The Solution of an Integer Problem Based on Geometric Method

Abstract:

This paper studies the integer solution of the Markowitz mean-variance model. To avoid solving the quadratic equation with constraints directly, it uses geometric linear approximate method, and gives a practical and effective calculation method. Then it conducts the corresponding calculations regarding the real data, and reaches an optimal solution while the time of calculations is largely reduced, compared to the direct way and the algebraic approach.

• Periodical: Applied Mechanics and Materials (Volumes 496-500)
• Pages: 2852-2856
• DOI: https://doi.org/10.4028/www.scientific.net/AMM.496-500.2852
• Online since: January 2014
• Authors: Jia Min Zhou, Jin Rui Guo, Ren Er Yang, Wei Hua Li*
• Keywords: Integer Programming, Linear Approximation, Tangent Plane Method

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