A local relaxation method for the cardinality constrained portfolio optimization problem
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Cites work
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- scientific article; zbMATH DE number 51121 (Why is no real title available?)
- scientific article; zbMATH DE number 5066625 (Why is no real title available?)
- A tree-search algorithm for mixed integer programming problems
- An Automatic Method of Solving Discrete Programming Problems
- Computational study of a family of mixed-integer quadratic programming problems
- Heuristics for cardinality constrained portfolio optimization
- Integer programming approaches in mean-risk models
- Integrating SQP and branch-and-bound for mixed integer nonlinear programming
- Lagrangian relaxation procedure for cardinality-constrained portfolio optimization
- Large-Scale Portfolio Optimization
Cited in
(25)- Mathematical programs with cardinality constraints: reformulation by complementarity-type conditions and a regularization method
- Time-consistent multiperiod mean semivariance portfolio selection with the real constraints
- A penalty PALM method for sparse portfolio selection problems
- Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming
- Liquidity-constrained index tracking optimization models
- Multiperiod mean absolute deviation fuzzy portfolio selection model with risk control and cardinality constraints
- Cardinality minimization, constraints, and regularization: a survey
- Relaxed method for optimization problems with cardinality constraints
- Second-order optimality conditions and improved convergence results for regularization methods for cardinality-constrained optimization problems
- Constraint qualifications and optimality conditions for optimization problems with cardinality constraints
- Hybrid Enhanced Binary Honey Badger Algorithm with Quadratic Programming for Cardinality Constrained Portfolio Optimization
- Sparsity constrained optimization problems via disjunctive programming
- Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization
- Solving cardinality constrained mean-variance portfolio problems via MILP
- Chance-constrained multiperiod mean absolute deviation uncertain portfolio selection
- Sequential optimality conditions for cardinality-constrained optimization problems with applications
- Multiperiod mean absolute deviation uncertain portfolio selection with real constraints
- Multi-period possibilistic mean semivariance portfolio selection with cardinality constraints and its algorithm
- Cardinality constrained portfolio selection problem: a completely positive programming approach
- Tight upper bounds on the cardinality constrained mean-variance portfolio optimization problem using truncated eigendecomposition
- Optimal management of wind and solar energy resources
- Optimization of cardinality constrained portfolios with a hybrid local search algorithm
- Lagrangian relaxation procedure for cardinality-constrained portfolio optimization
- An iterative method for solving a bi-objective constrained portfolio optimization problem
- On a Reformulation of Mathematical Programs with Cardinality Constraints
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