Package org.drip.sample.tadonkivial

Class HeuristicCardinalityBoundOptimizer02

java.lang.Object
org.drip.sample.tadonkivial.HeuristicCardinalityBoundOptimizer02
public class HeuristicCardinalityBoundOptimizer02
extends java.lang.Object
HeuristicCardinalityBoundOptimizer02 demonstrates the Setup and Execution of a Cardinality Bounded Portfolio Allocator with Asset Level Bounds using the Tadonki-Vial (2004) Heuristics. The References are:

  • Chang, T., J., N. Meade, J. E. Beasley, and Y. M. Sharaiha (2000): Heuristics for Cardinality Constrained Portfolio Optimization Computers and Operations Research 27 (13) 1271-1302
  • Chvatal, V. (1973): Edmonds Polytopes in a Hierarchy of Combinatorial Problems Discrete Mathematics 4 (4) 305-337
  • Jobst, N. J., M. D. Horniman, C. A. Lucas, and G. Mitra (2001): Computational Aspects of Alternative Portfolio Selection Models in the Presence of Discrete Asset Choice Constraints Quantitative Finance 1 (5) 1-13
  • Letchford, A. N. and A. Lodi (2002): Strengthening Chvatal-Gomory Cuts and Gomory Fractional Cuts Operations Research Letters 30 (2) 74-82
  • Tadonki, C., and J. P. Vial (2004): Portfolio Selection with Cardinality and Bound Constraints https://www.cri.ensmp.fr/~tadonki/PaperForWeb/Tadonki_PF.pdf




Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    HeuristicCardinalityBoundOptimizer02()  

  • Method Summary

    Modifier and Type Method Description
    static void main​(java.lang.String[] argumentArray)
    Entry Point

    Methods inherited from class java.lang.Object

    equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

  • Constructor Details

    • HeuristicCardinalityBoundOptimizer02

      public HeuristicCardinalityBoundOptimizer02()

  • Method Details

    • main

      public static final void main​(java.lang.String[] argumentArray) throws java.lang.Exception
      Entry Point
      Parameters:
      argumentArray - Command Line Argument Array
      Throws:
      java.lang.Exception - Thrown on Error/Exception Situation