Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems (Q2393069)
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scientific article; zbMATH DE number 6195822
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| English | Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems |
scientific article; zbMATH DE number 6195822 |
Statements
Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems (English)
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7 August 2013
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portfolio selection
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cardinality constraint
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mixed 0-1 QCQP reformulation
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second-order cone program
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semidefinite program
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0.8156436085700989
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0.8130030035972595
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0.810888946056366
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0.7975839972496033
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0.7960719466209412
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