OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION (Q5472778): Difference between revisions

Latest revision as of 16:53, 24 June 2024

scientific article; zbMATH DE number 5031635

Language	Label	Description	Also known as
English	OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION	scientific article; zbMATH DE number 5031635

Statements

instance of

scholarly article

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title

OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION (English)

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zbMATH Open document ID

1128.91028

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DOI

10.1111/j.1467-9965.2006.00262.x

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12 June 2006

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Mathematics Subject Classification ID

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concave transaction costs

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cardinality constraint

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1111/j.1467-9965.2006.00262.x

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Heuristics for cardinality constrained portfolio optimization

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Semi-absolute deviation rule for mutual funds portfolio selection

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Simulated annealing for complex portfolio selection problems.

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Selecting portfolios with fixed costs and minimum transaction lots

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Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation

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Success guarantee of dual search in integer programming: \(p\)-th power Lagrangian method.

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\(p\)th power Lagrangian method for integer programming

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LP solvable models for portfolio optimization: a classification and computational comparison

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Heuristic algorithms for the portfolio selection problem with minimum transaction lots

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Multiple criteria linear programming model for portfolio selection

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Q4040299

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Asymptotic Strong Duality for Bounded Integer Programming: A Logarithmic-Exponential Dual Formulation

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A dual ascent method for the portfolio selection problem with multiple constraints and linked proposals

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Continuous-time mean-variance portfolio selection: a stochastic LQ framework

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Sitelinks

Mathematics(1 entry)

mardi Publication:5472778

@@ Property / cites work @@
+Heuristics for cardinality constrained portfolio optimization
+Normal rank
@@ Property / cites work @@
+Semi-absolute deviation rule for mutual funds portfolio selection
+Normal rank
@@ Property / cites work @@
+Simulated annealing for complex portfolio selection problems.
+Normal rank
@@ Property / cites work @@
+Selecting portfolios with fixed costs and minimum transaction lots
+Normal rank
@@ Property / cites work @@
+Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
+Normal rank
@@ Property / cites work @@
+Success guarantee of dual search in integer programming: \(p\)-th power Lagrangian method.
+Normal rank
@@ Property / cites work @@
+\(p\)th power Lagrangian method for integer programming
+Normal rank
@@ Property / cites work @@
+LP solvable models for portfolio optimization: a classification and computational comparison
+Normal rank
@@ Property / cites work @@
+Heuristic algorithms for the portfolio selection problem with minimum transaction lots
+Normal rank
@@ Property / cites work @@
+Multiple criteria linear programming model for portfolio selection
+Normal rank
@@ Property / cites work @@
+Q4040299
@@ Property / cites work: Q4040299 / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic Strong Duality for Bounded Integer Programming: A Logarithmic-Exponential Dual Formulation
+Normal rank
@@ Property / cites work @@
+A dual ascent method for the portfolio selection problem with multiple constraints and linked proposals
+Normal rank
@@ Property / cites work @@
+Continuous-time mean-variance portfolio selection: a stochastic LQ framework
+Normal rank