Heuristics for cardinality constrained portfolio optimization
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Cited in
(only showing first 100 items - show all)- Fuzzy compromise programming for portfolio selection
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- An integrated approach for stock evaluation and portfolio optimization
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- A penalty PALM method for sparse portfolio selection problems
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- A penalty decomposition algorithm for the extended mean-variance-CVaR portfolio optimization problem
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- OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION
- 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 multi-objective genetic algorithm for cardinality constrained fuzzy portfolio selection
- A hybrid approach for index tracking with practical constraints
- Multiobjective Programming and Multiattribute Utility Functions in Portfolio Optimization
- Index tracking through deep latent representation learning
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- A study of scalarisation techniques for multi-objective QUBO solving
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- A combinatorial approach for small and strong formulations of disjunctive constraints
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- A polynomial case of the cardinality-constrained quadratic optimization problem
- An augmented Lagrangian proximal alternating method for sparse discrete optimization problems
- Multi-objective portfolio optimization considering the dependence structure of asset returns
- Expected mean return—standard deviation efficient frontier approximation with low‐cardinality portfolios in the presence of the risk‐free asset
- Solving cardinality constrained mean-variance portfolio problems via MILP
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- Zeroth-order regularized optimization (ZORO): approximately sparse gradients and adaptive sampling
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- Cardinality-constrained portfolio optimization with short selling and risk-neutral interest rate
- Sparse tangent portfolio selection via semi-definite relaxation
- A bi‐level programming framework for identifying optimal parameters in portfolio selection
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- A local relaxation method for the cardinality constrained portfolio optimization problem
- Cardinality constrained portfolio selection problem: a completely positive programming approach
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- A novel multi period mean-VaR portfolio optimization model considering practical constraints and transaction cost
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- Mixed-integer second-order cone programming for lower hedging of American contingent claims in incomplete markets
- A robust mean absolute deviation model for portfolio optimization
- Sparse minimax portfolio and Sharpe ratio models
- Solving continuous min max problem for single period portfolio selection with discrete constraints by DCA
- Extracting from the relaxed for large-scale semi-continuous variable nondominated frontiers
- Efficient implementation of an active set algorithm for large-scale portfolio selection
- ACTIVE PORTFOLIO MANAGEMENT WITH CARDINALITY CONSTRAINTS: AN APPLICATION OF PARTICLE SWARM OPTIMIZATION
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