This paper addresses the problem of generating strong convex relaxations of Mixed Integer
Quadratically Constrained Programming (MIQCP) problems. MIQCP problems are very …

The polyhedron defined by all the split cuts obtainable directly (ie without iterated cut generation)
from the LP-relaxation P of a mixed integer program (MIP) is termed the (elementary, or …

A common way to produce a convex relaxation of a Mixed Integer Quadratically Constrained
Program (MIQCP) is to lift the problem into a higher-dimensional space by introducing …

In this paper, we address the following probabilistic version (PSC) of the set covering problem:
$${\min\{cx\,|\,{\mathbb P}(Ax \ge \xi) \ge p, x \in \{0, 1\}^N\}}$$ where A is a 0-1 matrix, $${\…

This paper surveys results on the NP-hard mixed-integer quadratically constrained
programming problem. The focus is strong convex relaxations and valid inequalities, which can …

This paper addresses the problem of generating strong convex relaxations of Mixed Integer
Quadratically Constrained Programming (MIQCP) problems. MIQCP problems are very …

Quantitative equity portfolio management has evolved into an interdisciplinary activity that
draws expertise from the fields of finance, statistics, econometrics, accounting, and …

The allocation of scarce economic resources so as to maximize societal good is at the very
core of human economic development. The key contribution of Markowitz [ 1 ] was to view this …

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 …

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 …