Project: Portfolio Selection · LP Relaxation

Lesson 5

Nikolai Chukhin · Alexander S. Kulikov

The final programming task adds back the family constraints from the ILP model. It specializes the model to one-share decisions, so selecting stock \(i\) means \(x_{i}=y_{i}=1\) and not selecting it means \(x_{i}=y_{i}=0\). It keeps tracking error, conflicts, dependencies, stock limit, and sector caps.