Discrete level-bundle method for mean-CVaR portfolio optimization with cardinality constraint

DOI10.1007/S11075-024-01947-0MaRDI QIDQ6950233zbMATH OpenFDO

Authors Li-Ping Pang, Shuang-Yu Li

Publication date 31 July 2025

Published in Numerical Algorithms (Search for Journal in Brave)

zbMATH Keywords

portfolio optimizationconditional value-at-riskcomplexity analysiscardinality constraintdiscrete level-bundle

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Mixed integer programming (90C11)

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