Portfolio Selection with Complex Restrictions
Project Status: completed
Mutual Funds in Germany have to adhere to several complex restrictions, which increase the difficulty of taking the correct investment decision. These restrictions are defined in the German Investment Law (InvG) and in contractual obligations specific to every mutual fund. The goal of this research project is to develop tools and methods that allow the inclusion of these restrictions in the portfolio construction process.
articleMichael Stein, Jürgen Branke, Hartmut Schmeck
Efficient implementation of an active set algorithm for large-scale portfolio selection
Computers and Operations Research, 35, (12), pages 3945-3961, Dezember, 2008