Heuristics for cardinality constrained portfolio optimization
From MaRDI portal
DOI10.1016/S0305-0548(99)00074-XzbMATH Open1032.91074OpenAlexW2151237529MaRDI QIDQ1582684FDOQ1582684
Authors: R. Smith 
Publication date: 11 March 2004
Published in: Computers \& Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0305-0548(99)00074-x
Recommendations
- Heuristic algorithms for the cardinality constrained efficient frontier
- Optimization of cardinality constrained portfolios with a hybrid local search algorithm
- A discrete multi-factor portfolio optimization model with cardinality constraints
- scientific article; zbMATH DE number 6001469
- Portfolio management with heuristic optimization.
simulated annealinggenetic algorithmstabu searchefficient frontierheuristic algorithmscomputational resultscardinality constraintstandard mean-variance portfollo optimisation model
Numerical mathematical programming methods (65K05) Management decision making, including multiple objectives (90B50) Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10)
Cites Work
- Title not available (Why is that?)
- Optimization by simulated annealing
- Title not available (Why is that?)
- Equation of state calculations by fast computing machines
- Title not available (Why is that?)
- Future paths for integer programming and links to artificial intelligence
- An improved branch and bound algorithm for mixed integer nonlinear programs
- Title not available (Why is that?)
- Title not available (Why is that?)
- A genetic algorithm for the set covering problem
- Obtaining test problems via Internet
- Title not available (Why is that?)
- Title not available (Why is that?)
- Computational study of a family of mixed-integer quadratic programming problems
- THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS
- Thermodynamical approach to the travelling salesman problem: An efficient simulation algorithm
- A mean-absolute deviation-skewness portfolio optimization model
- A minimax portfolio selection rule with linear programming solution
- Stochastic Network Programming for Financial Planning Problems
- A genetic algorithm for the multidimensional knapsack problem
- A MEAN-VARIANCE-SKEWNESS PORTFOLIO OPTIMIZATION MODEL
- Feature Article—Genetic Algorithms for the Operations Researcher
- Title not available (Why is that?)
- PIECEWISE LINEAR RISK FUNCTION AND PORTFOLIO OPTIMIZATION
- State-of-the-Art Survey—Constrained Nonlinear 0–1 Programming
- A computational comparison of branch and bound and outer approximation algorithms for 0-1 mixed integer nonlinear programs
- A heuristic algorithm for a portfolio optimization model applied to the Milan stock market
- A simple algorithm to incorporate transactions costs in quadratic optimization
- Title not available (Why is that?)
- Title not available (Why is that?)
- Portfolio selection in downside risk optimization approach: application to the Hong Kong stock market
Cited In (only showing first 100 items - show all)
- A penalty PALM method for sparse portfolio selection problems
- Multi-period mean-semivariance portfolio optimization based on uncertain measure
- Portfolio management with higher moments: the cardinality impact
- An exact algorithm for factor model in portfolio selection with roundlot constraints
- Equity portfolio management with cardinality constraints and risk parity control using multi-objective particle swarm optimization
- Equally weighted cardinality constrained portfolio selection via factor models
- The complexity results of the sparse optimization problems and reverse convex optimization problems
- Artificial bee colony algorithm for constrained possibilistic portfolio optimization problem
- PSO and harmony search algorithms for cardinality constrained portfolio optimization problem
- Analyzing the performance of a two-tail-measures-utility multi-objective portfolio optimization model
- A hybrid approach for index tracking with practical constraints
- Multiobjective (Combinatorial) optimisation-some thoughts on applications
- Fast algorithms for sparse portfolio selection considering industries and investment styles
- Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization
- A combinatorial approach for small and strong formulations of disjunctive constraints
- Application of artificial bee colony algorithm to portfolio adjustment problem with transaction costs
- An augmented Lagrangian proximal alternating method for sparse discrete optimization problems
- Complex portfolio selection via convex mixed‐integer quadratic programming: a survey
- Zeroth-order regularized optimization (ZORO): approximately sparse gradients and adaptive sampling
- A simheuristic algorithm for the portfolio optimization problem with random returns and noisy covariances
- A multi-objective approach for weapon selection and planning problems in dynamic environments
- Cardinality-constrained portfolio optimization with short selling and risk-neutral interest rate
- Sparse tangent portfolio selection via semi-definite relaxation
- Robust CCMV model with short selling and risk-neutral interest rate
- Discrete dynamical system approaches for Boolean polynomial optimization
- Wavelet evolutionary network for complex-constrained portfolio rebalancing
- Bounds on efficient outcomes for large-scale cardinality-constrained Markowitz problems
- A novel multi period mean-VaR portfolio optimization model considering practical constraints and transaction cost
- Solving continuous min max problem for single period portfolio selection with discrete constraints by DCA
- Mixed-integer second-order cone programming for lower hedging of American contingent claims in incomplete markets
- Sparse minimax portfolio and Sharpe ratio models
- ACTIVE PORTFOLIO MANAGEMENT WITH CARDINALITY CONSTRAINTS: AN APPLICATION OF PARTICLE SWARM OPTIMIZATION
- The effect of velocity sparsity on the performance of cardinality constrained particle swarm optimization
- Robust investment strategies with discrete asset choice constraints using DC programming
- Efficient cardinality/mean-variance portfolios
- Optimal portfolio selection for the small investor considering risk and transaction costs
- On cutting planes for cardinality-constrained linear programs
- Cardinality-constrained risk parity portfolios
- Solving Portfolio Optimization Problems Using MOEA/D and Lévy Flight
- Linear vs. quadratic portfolio selection models with hard real-world constraints
- Reverse adaptive krill herd locally weighted support vector regression for forecasting and trading exchange traded funds
- Title not available (Why is that?)
- Global minimum variance portfolios under uncertainty: a robust optimization approach
- Fuzzy multi-period portfolio selection model with discounted transaction costs
- Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization
- A Scalable Algorithm for Sparse Portfolio Selection
- Particle swarm optimization with dynamic random population topology strategies for a generalized portfolio selection problem
- Splitting augmented Lagrangian method for optimization problems with a cardinality constraint and semicontinuous variables
- Maximum Entropy Bi-Objective Model and its Evolutionary Algorithm for Portfolio Optimization
- Fuzzy compromise programming for portfolio selection
- An integrated approach for stock evaluation and portfolio optimization
- Improving the performance of MIQP solvers for quadratic programs with cardinality and minimum threshold constraints: a semidefinite program approach
- Valid inequalities for quadratic optimisation with domain constraints
- A resource portfolio planning model using sampling-based stochastic programming and genetic algorithm
- A cardinality constrained stochastic goal programming model with satisfaction functions for venture capital investment decision making
- 2-phase NSGA II: an optimized reward and risk measurements algorithm in portfolio optimization
- A unifying framework for sparsity-constrained optimization
- Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios
- A portfolio optimization model with three objectives and discrete variables
- A note on portfolio selection with restrictions on leverage
- Recent advances in mathematical programming with semi-continuous variables and cardinality constraint
- Hybrid metaheuristics for constrained portfolio selection problems
- OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION
- Local search techniques for constrained portfolio selection problems
- Multiobjective Programming and Multiattribute Utility Functions in Portfolio Optimization
- A multi-objective genetic algorithm for cardinality constrained fuzzy portfolio selection
- Algorithm for cardinality-constrained quadratic optimization
- Portfolio selection using neural networks
- Kernel search: a new heuristic framework for portfolio selection
- A multiplicative weights update algorithm for MINLP
- A class of possibilistic portfolio selection model with interval coefficients and its application
- Portfolio selection under downside risk measures and cardinality constraints based on DC programming and DCA
- A fuzzy interactive approach for optimal portfolio management
- Factor-based robust index tracking
- Minimizing the tracking error of cardinality constrained portfolios
- An Alternating Method for Cardinality-Constrained Optimization: A Computational Study for the Best Subset Selection and Sparse Portfolio Problems
- A polynomial case of the cardinality-constrained quadratic optimization problem
- Solving cardinality constrained mean-variance portfolio problems via MILP
- Multi-objective portfolio optimization considering the dependence structure of asset returns
- A multiobjective metaheuristic for a mean-risk multistage capacity investment problem
- Intuitionistic fuzzy optimistic and pessimistic multi-period portfolio optimization models
- Exam scheduling: mathematical modeling and parameter estimation with the analytic network process approach
- Portfolio optimization with disutility-based risk measure
- A bi‐level programming framework for identifying optimal parameters in portfolio selection
- A local relaxation method for the cardinality constrained portfolio optimization problem
- Common stock portfolio selection: a multiple criteria decision making methodology and an application to the Athens stock exchange
- An MCDM approach to portfolio optimization.
- Cardinality constrained portfolio selection problem: a completely positive programming approach
- On the existence of solutions to the quadratic mixed-integer mean-variance portfolio selection problem
- Cardinality-constrained distributionally robust portfolio optimization
- A hybrid FA-SA algorithm for fuzzy portfolio selection with transaction costs
- Portfolio optimization with an envelope-based multi-objective evolutionary algorithm
- A robust mean absolute deviation model for portfolio optimization
- Extracting from the relaxed for large-scale semi-continuous variable nondominated frontiers
- Efficient implementation of an active set algorithm for large-scale portfolio selection
- Optimal hedge fund portfolios under liquidation risk
- Long-short portfolio optimization under cardinality constraints by difference of convex functions algorithm
- Heuristic algorithms for the cardinality constrained efficient frontier
- A population heuristic for constrained two-dimensional non-guillotine cutting
- A stochastic programming approach to multicriteria portfolio optimization
Uses Software
This page was built for publication: Heuristics for cardinality constrained portfolio optimization
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1582684)
