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 …

We present a new Lagrangian-based heuristic for solving large-scale set-covering problems
arising from crew-scheduling at the Italian Railways (Ferrovie dello Stato). Our heuristic …

We propose a cutting plane algorithm for mixed 0–1 programs based on a family of
polyhedra which strengthen the usual LP relaxation. We show how to generate a facet of a …

Given a finite number of closed convex sets whose algebraic representation is known, we
study the problem of finding the minimum of a convex function on the closure of the convex …

We investigate the use of Gonory's mixed integer cuts within a branch-and-cut framework. It
has been argued in the literature that “a marriage of classical cutting planes and tree search …

We investigate the computational issues that need to be addressed when incorporating general
cutting planes for mixed 0-1 programs into a branch-and-cut framework. The cuts we use …

… 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 …

We propose a new heuristic for pure 0–1 programs, which finds feasible integer points by
enumerating extended facets of the octahedron, the outer polar of the unit hypercube. We give …

In response to the needs of researchers for access to challenging mixed integer programs,
Bixby et al. 1] created MIPLIB, an electronically available library of both pure and mixed …

We investigate the use of cutting planes for integer programs with general integer variables.
We show how cutting planes arising from knapsack inequalities can be generated and lifted …