Portfolio Selection: A mixed-integer programming model solved by a Branch and Bound algorithm

Portfolio Selection can be represented by Markowitz’s continuous model. This model is valid if all the alternatives are perfectly divisible. However, as a matter of fact, alternatives exist which can be acquired only by integer multiples of a minimal quantity. In this work a model is presented which is able to manage this kind of alternatives. A Branch and Bound algorithm is proposed to solve this model and the first experimental results are illustrated.