Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization
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Publication:2231331
DOI10.1007/s10898-021-01048-5zbMath1478.90064arXiv2005.12797MaRDI QIDQ2231331
Kazuhide Nakata, Yuichi Takano, Ken Kobayashi
Publication date: 29 September 2021
Published in: Journal of Global Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2005.12797
portfolio optimization; mixed-integer optimization; conditional value-at-risk; cardinality constraint; cutting-plane algorithm
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Norm constrained minimum variance portfolios with short selling, Cardinality-constrained distributionally robust portfolio optimization, Extended mean-conditional value-at-risk portfolio optimization with PADM and conditional scenario reduction technique, A mental account-based portfolio selection model with an application for data with smaller dimensions
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