مدلسازی برنامه مختلط صحیح تصادفی دو مرحله ای و رویکرد راه حل ترکیبی برای مشکلات انتخاب سبد سهام

To deal with the computational difficulty of the proposed model, a simplification and hybrid solution method is applied in the paper. The simplification method aims to eliminate the difficult constraints in the model, resulting into easier sub-problems compared to the original one. The hybrid method is developed to integrate local search with Branch-and-Bound (B&B) to solve the problem heuristically. We present computational results of the hybrid approach to analyse the performance of the proposed method. The results illustrate that the hybrid method can generate good solutions in a reasonable amount of computational time. We also compare the obtained portfolio values against an index value to illustrate the performance and strengths of the proposed SMIP model. Implications of the model and future work are also discussed.