Optimal cardinality constrained portfolio selection
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(78)- Optimization of cardinality constrained portfolios with a hybrid local search algorithm
- Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization
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- Sparse Markowitz portfolio selection by using stochastic linear complementarity approach
- A local relaxation method for the cardinality constrained portfolio optimization problem
- Cardinality-constrained portfolio optimization with short selling and risk-neutral interest rate
- Bounds on efficient outcomes for large-scale cardinality-constrained Markowitz problems
- On the long-only minimum variance portfolio under single factor model
- A Lagrange-Newton algorithm for sparse nonlinear programming
- Robust CCMV model with short selling and risk-neutral interest rate
- A mental account-based portfolio selection model with an application for data with smaller dimensions
- Discrete dynamical system approaches for Boolean polynomial optimization
- A new algorithm for quadratic integer programming problems with cardinality constraint
- Multi-period portfolio selection with mental accounts and realistic constraints based on uncertainty theory
- Portfolio optimization model with and without options under additional constraints
- On sparsity of the solution to a random quadratic optimization problem
- The complexity results of the sparse optimization problems and reverse convex optimization problems
- Equally weighted cardinality constrained portfolio selection via factor models
- Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization
- On the structure of linear programs with overlapping cardinality constraints
- An augmented Lagrangian proximal alternating method for sparse discrete optimization problems
- Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems
- A new method for mean-variance portfolio optimization with cardinality constraints
- A simultaneous diagonalization based SOCP relaxation for portfolio optimization with an orthogonality constraint
- Tight upper bounds on the cardinality constrained mean-variance portfolio optimization problem using truncated eigendecomposition
- An efficient optimization approach for a cardinality-constrained index tracking problem
- Improving the performance of MIQP solvers for quadratic programs with cardinality and minimum threshold constraints: a semidefinite program approach
- Efficient cardinality/mean-variance portfolios
- Large-Scale Loan Portfolio Selection
- Lagrangian relaxation procedure for cardinality-constrained portfolio optimization
- Recent advances in mathematical programming with semi-continuous variables and cardinality constraint
- A half thresholding projection algorithm for sparse solutions of LCPs
- Optimal portfolio diversification via independent component analysis
- Global optimization for sparse solution of least squares problems
- An Alternating Method for Cardinality-Constrained Optimization: A Computational Study for the Best Subset Selection and Sparse Portfolio Problems
- Approximation Bounds for Sparse Programs
- A Scalable Algorithm for Sparse Portfolio Selection
- Closed-form solutions for short-term sparse portfolio optimization
- A unified approach to mixed-integer optimization problems with logical constraints
- Quadratic convex reformulations for semicontinuous quadratic programming
- OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION
- Cardinality-constrained portfolio selection based on collaborative neurodynamic optimization
- A low-cost alternating projection approach for a continuous formulation of convex and cardinality constrained optimization
- A new global algorithm for factor-risk-constrained mean-variance portfolio selection
- Norm constrained minimum variance portfolios with short selling
- High-Dimensional Portfolio Selection with Cardinality Constraints
- Portfolio selection with exploration of new investment assets
- Hybrid Enhanced Binary Honey Badger Algorithm with Quadratic Programming for Cardinality Constrained Portfolio Optimization
- First- and second-order optimality conditions of nonsmooth sparsity multiobjective optimization via variational analysis
- Computing cardinality constrained portfolio selection efficient frontiers via closest correlation matrices
- Penalty method for the sparse portfolio optimization problem
- Concentrated portfolio selection models based on historical data
- Cardinality minimization, constraints, and regularization: a survey
- Nonconvex multi-period mean-variance portfolio optimization
- The sparse portfolio optimization with stochastic dominance and background risk and the slqpso algorithm
- Portfolio selection balancing concentration and diversification
- An exact algorithm for a cardinality-constrained index tracking model considering investment preferences in portfolio optimization
- Cardinality constrained multi-period mean-variance portfolio optimization with regime-switching parameters
- A sparsity-driven solution method for the cardinality constrained mean-variance portfolio selection problem
- Discrete level-bundle method for mean-CVaR portfolio optimization with cardinality constraint
- Integration of support vector machines and mean-variance optimization for capital allocation
- Sparsity penalized mean-variance portfolio selection: analysis and computation
- Distributionally robust sparse portfolio selection
- An inexact proximal DC algorithm for the large-scale cardinality constrained mean-variance model in sparse portfolio selection
- An efficient Lagrange-Newton algorithm for long-only cardinality constrained portfolio selection on real data sets
- On tractable convex relaxations of standard quadratic optimization problems under sparsity constraints
- Projected gradient descent method for cardinality-constrained portfolio optimization
- Distributionally robust mean-CVaR portfolio optimization with cardinality constraint
- On the computation of the efficient frontier in advanced sparse portfolio optimization
- Second-order optimality conditions for sparse optimization via Fréchet second-order subdifferential
- Litigation finance at trial: model and data
- An algorithm for cardinality-constrained optimization with an application to the best subset selection and sparse portfolio problems.
- Successive convex approximations to cardinality-constrained convex programs: a piecewise-linear DC approach
- Random credibilitic portfolio selection problem with different convex transaction costs
- A symmetric Gauss-Seidel based method for a class of multi-period mean-variance portfolio selection problems
- A sparse chance constrained portfolio selection model with multiple constraints
- Cardinality constrained portfolio selection problem: a completely positive programming approach
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