Cardinality constrained mean-variance portfolios: a penalty decomposition algorithm

DOI10.1007/S10589-025-00653-4MaRDI QIDQ7006140zbMATH OpenFDO

Authors A. Mousavi, George Michailidis

Publication date 31 March 2025

Published in Computational Optimization and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S10589-025-00653-4

zbMATH Keywords

cardinality constrained problemsmean-variance portfoliospenalty decomposition methodportfolio optimization

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• A penalty decomposition algorithm with greedy improvement for mean‐reverting portfolios with sparsity and volatility constraints
• A survey on compressive sensing: classical results and recent advancements
• Adaptive l₁-regularization for short-selling control in portfolio selection
• Algorithm for cardinality-constrained quadratic optimization
• An Alternating Method for Cardinality-Constrained Optimization: A Computational Study for the Best Subset Selection and Sparse Portfolio Problems
• Dynamic mean-LPM and mean-CVaR portfolio optimization in continuous-time
• Optimal portfolio selections via \(\ell_{1, 2}\)-norm regularization
• Short-term sparse portfolio optimization based on alternating direction method of multipliers

Cited in

(1)

• A probabilistic approach to portfolio selection with risk-aversion coefficients estimated via logistic regression

This page was built for publication: Cardinality constrained mean-variance portfolios: a penalty decomposition algorithm

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q7006140)