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In this paper we consider a generalization of the Markowitz's Mean-Variancemodel under linear transaction costs and cardinality constraints. Thecardinality constraints are used to limit the number of assets in the optimalportfolio. The generalized model is formulated as a mixed integer quadraticprogramming (MIP) problem. The purpose of this paper is to investigate acontinuous approach based on difference of convex functions (DC) programmingfor solving the MIP model. The preliminary comparative results of the proposedapproach versus CPLEX are presented.

A Continuous Optimization Approach for the Financial Portfolio Selection under Discrete Asset Choice Constraints