Portfolio selection balancing concentration and diversification

DOI10.3934/JIMO.2025025MaRDI QIDQ6854837zbMATH OpenFDO

Authors Tingting Zhang, Shaoyong Lai

Publication date 23 February 2026

Published in Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/JIMO.2025025

zbMATH Keywords

concentrationdeviation measurediversificationempirical experimenttri-criteria portfolio selection

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• An analytical derivation of the efficient surface in portfolio selection with three criteria
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• Optimal cardinality constrained portfolio selection
• Penalty method for the sparse portfolio optimization problem
• PIECEWISE LINEAR RISK FUNCTION AND PORTFOLIO OPTIMIZATION
• Portfolio optimization under a minimax rule
• Portfolio optimization under a minimax rule revisited
• Regularization and Variable Selection Via the Elastic Net
• Regularizing portfolio optimization
• Safety first portfolio choice based on financial and sustainability returns
• Sparse and stable Markowitz portfolios
• Trade-off ratio functions for linear and piecewise linear multi-objective optimization problems
• Weighted elastic net penalized mean-variance portfolio design and computation

Cited in

(1)

• An exact algorithm for a cardinality-constrained index tracking model considering investment preferences in portfolio optimization

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