A local relaxation method for the cardinality constrained portfolio optimization problem

DOI10.1007/s10589-012-9471-1zbMath1264.90133OpenAlexW2099030886MaRDI QIDQ1935581

Walter Murray, Howard Shek

Publication date: 18 February 2013

Published in: Computational Optimization and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10589-012-9471-1

zbMATH Keywords

nonlinear programmingportfolio optimizationcardinality constrained optimizationlocal relaxation method

Mathematics Subject Classification ID

Quadratic programming (90C20) Portfolio theory (91G10)

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Uses Software

• CPLEX
• ElemStatLearn

Cites Work

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