Las condiciones de Kuhn y Tucker en el cálculo de fronteras eficientes

Abstract

We present an algorithm that combines the use of the Kuhn-Tucker conditions with heuristical procedures to calculate the efficient frontier of the semicontinuous variable constrained portfolio selection problem with any additional set of linear constraints. Other kinds of constraints can also be added, such as cardinality constraints. For small instances, it becomes an exact algoritm. In this way, many irregularities of the efficient frontier are detected that can be useful to the investor to select a desired return level.