An efficient global optimal method for cardinality constrained portfolio optimization

DOI10.1287/IJOC.2022.0344MaRDI QIDQ6580551zbMATH OpenFDO

Authors Wei Xu, Jie Tang, Ka Fai Cedric Yiu, J. W. Peng

Publication date 29 July 2024

Published in INFORMS Journal on Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/IJOC.2022.0344

zbMATH Keywords

branch-and-bound methodcardinality constraintlower bound analysisportfolio selection

Mathematics Subject Classification ID

Mathematical programming (90Cxx)

Cited in

(4)

• An exact algorithm for a cardinality-constrained index tracking model considering investment preferences in portfolio optimization
• Tighter yet more tractable relaxations and nontrivial instance generation for sparse standard quadratic optimization
• Sparse portfolio selection via topological data analysis based clustering
• Projected gradient descent method for cardinality-constrained portfolio optimization

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