A global optimization problem in portfolio selection
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Cites work
- A computational comparison of branch and bound and outer approximation algorithms for 0-1 mixed integer nonlinear programs
- Global optimization approaches to an aircraft routing problem
- Lipschitzian optimization without the Lipschitz constant
- MIP: Theory and practice -- closing the gap
- Rebalancing an investment portfolio in the presence of convex transaction costs, including market impact costs
- Solving mixed integer nonlinear programs by outer approximation
- Stochastic global optimization methods part I: Clustering methods
- Stochastic global optimization methods part II: Multi level methods
- The Convergence of a Class of Double-rank Minimization Algorithms
- The Convergence of a Class of Double-rank Minimization Algorithms 1. General Considerations
- Using global optimization for a microparticle identification problem with noisy data
Cited in
(11)- Application of a globally convergent hybrid conjugate gradient method in portfolio optimization
- Optimizing preventive maintenance models
- The discrete sell or hold problem with constraints on asset values
- scientific article; zbMATH DE number 5856010 (Why is no real title available?)
- Complex portfolio selection via convex mixed‐integer quadratic programming: a survey
- A distributed computation algorithm for solving portfolio problems with integer variables
- Extracting from the relaxed for large-scale semi-continuous variable nondominated frontiers
- Solving long-term financial planning problems via global optimization
- Threshold accepting approach to improve bound-based approximations for portfolio optimization
- A convex combination of improved Fletcher-Reeves and Rivaie-Mustafa-Ismail-Leong conjugate gradient methods for unconstrained optimization problems and applications
- Twenty years of linear programming based portfolio optimization
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