  In this paper we consider a generalization of the Markowitz's Mean-Variance
model under linear transaction costs and cardinality constraints. The
cardinality constraints are used to limit the number of assets in the optimal
portfolio. The generalized model is formulated as a mixed integer quadratic
programming (MIP) problem. The purpose of this paper is to investigate a
continuous approach based on difference of convex functions (DC) programming
for solving the MIP model. The preliminary comparative results of the proposed
approach versus CPLEX are presented.
