We generalize the disjunctive approach of Balas, Ceria, and Cornuéjols [2] and devevlop a
branch-and-cut method for solving 0-1 convex programming problems. We show that cuts …

The authors explore the negative effect that estimation error has on mean-variance optimal
portfolios. It is shown that asset weights in mean-variance optimal portfolios are very …

ObjectiveIn the majority of exercise intervention studies, the aggregate reported weight loss
is often small. The efficacy of exercise as a weight loss tool remains in question. The aim of …

Two different approaches, the direct simulation Monte Carlo (DSMC) method based on
molecular gasdynamics, and a finite-volume approximation of the Navier-Stokes equations, …

… In this article, Ceria, Saxena, and Stubbs focus on the interaction of three key elements
that are part of the quantitative portfolio management process, namely, the expected returns …

The practical issues that arise due to the interaction between three principal players in any
quantitative strategy—namely, the alpha model, risk model, and constraints—are collectively …

We develop a method for generating valid convex quadratic inequalities for mixed0–1 convex
programs. We also show how these inequalities can be generated in the linear case by …

Mean–variance optimization of a single portfolio, as introduced by Markowitz (1952, 1959),
is well studied and well understood. Its influence can be found in many branches of the …

A common criticism of risk models is that they have a tendency to underestimate the risk
associated with optimized portfolios. Quantitative portfolio managers have historically used a …

In a typical Institutional Separately Managed Account (SMA) framework, client portfolios that
follow a similar strategy are individually optimized and the resulting trades are pooled …