A new global algorithm for factor-risk-constrained mean-variance portfolio selection
From MaRDI portal
Recommendations
- Large-Scale Portfolio Optimization
- Mean-variance portfolio optimization with parameter sensitivity control
- Portfolio selection with multiple spectral risk constraints
- A FAST ALGORITHM FOR SOLVING LARGE SCALE MEAN-VARIANCE MODELS BY COMPACT FACTORIZATION OF COVARIANCE MATRICES
- Optimal cardinality constrained portfolio selection
Cites work
- A branch and cut algorithm for nonconvex quadratically constrained quadratic programming
- A finite branch-and-bound algorithm for nonconvex quadratic programming via semidefinite relaxations
- A new branch-and-cut algorithm for non-convex quadratic programming via alternative direction method and semidefinite relaxation
- A sensitive-eigenvector based global algorithm for quadratically constrained quadratic programming
- A simplicial branch-and-bound algorithm for solving quadratically constrained quadratic programs
- Active allocation of systematic risk and control of risk sensitivity in portfolio optimization
- An Efficient Global Algorithm for Single-Group Multicast Beamforming
- An efficient global algorithm for worst-case linear optimization under uncertainties based on nonlinear semidefinite relaxation
- Common risk factors in the returns on stocks and bonds
- Complexity Results and Effective Algorithms for Worst-Case Linear Optimization Under Uncertainties
- Convex relaxations of non-convex mixed integer quadratically constrained programs: projected formulations
- DC programming and DCA for general DC programs
- Globally solving box-constrained nonconvex quadratic programs with semidefinite-based finite branch-and-bound
- Globally solving nonconvex quadratic programming problems via completely positive programming
- scientific article; zbMATH DE number 3562783 (Why is no real title available?)
- scientific article; zbMATH DE number 757677 (Why is no real title available?)
- Line Search Filter Methods for Nonlinear Programming: Local Convergence
- Line Search Filter Methods for Nonlinear Programming: Motivation and Global Convergence
- Necessary conditions for ε-optimality
- New global algorithms for quadratic programming with a few negative eigenvalues based on alternative direction method and convex relaxation
- Nonlinear Optimization by Successive Linear Programming
- On the complexity of approximating a KKT point of quadratic programming
- On the implementation of an interior-point filter line-search algorithm for large-scale nonlinear programming
- On the Sequential Quadratically Constrained Quadratic Programming Methods
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Optimal trade-off portfolio selection between total risk and maximum relative marginal risk†
- Portfolio selection with marginal risk control
- Portfolio selection with the effect of systematic risk diversification: formulation and accelerated gradient algorithm
- Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
- Sequential convex approximations to joint chance constrained programs: A Monte Carlo approach
- Shortfall as a risk measure: properties, optimization and applications
- Solving a class of linearly constrained indefinite quadratic problems by DC algorithms
- Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones
- Variational Analysis
- Variations and extension of the convex-concave procedure
Cited in
(3)
This page was built for publication: A new global algorithm for factor-risk-constrained mean-variance portfolio selection
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6064034)