On the use of optimization models for portfolio selection: A review and some computational results
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Publication:1890889
DOI10.1007/BF01299454zbMATH Open0824.90016OpenAlexW2120486584MaRDI QIDQ1890889FDOQ1890889
Authors: Panos M. Pardalos, Mattias Sandström, Constantin Zopounidis 
Publication date: 23 May 1995
Published in: Computational Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf01299454
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constrained optimizationportfolio theoryMarkowitz mean-variance modeldual algorithmbond portfolio optimization
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Cited In (34)
- Robust min-max portfolio strategies for rival forecast and risk scenarios
- \(l_1\)-regularization for multi-period portfolio selection
- Title not available (Why is that?)
- Asset portfolio optimization using support vector machines and real-coded genetic algorithm
- Portfolio choice problems. An introductory survey of single and multiperiod models.
- Mathematical models and a tabu search for the portfolio management problem in the Kuwait stock exchange
- Fast quadratic programming for mean-variance portfolio optimisation
- On the application of an augmented Lagrangian algorithm to some portfolio problems
- Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints
- Selection of multi-criteria energy efficiency and emission abatement portfolios in container terminals
- Title not available (Why is that?)
- Possibilistic approaches to portfolio selection problem with general transaction costs and a CLPSO algorithm
- Portfolio selection using R
- Adaptive \(l_1\)-regularization for short-selling control in portfolio selection
- Title not available (Why is that?)
- Portfolio selection problem: a review of deterministic and stochastic multiple objective programming models
- A novel approach to Markowitz portfolio model without using Lagrange multipliers
- Decreasing the sensitivity of open-loop optimal solutions in decision making under uncertainty
- Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems
- A multicriteria methodology for equity selection using financial analysis
- Common stock portfolio selection: a multiple criteria decision making methodology and an application to the Athens stock exchange
- Application of the procedure of stochastic optimization to the problem of finding optimal portfolio
- An MCDM approach to portfolio optimization.
- Cardinality constrained portfolio selection problem: a completely positive programming approach
- A distributed computation algorithm for solving portfolio problems with integer variables
- Equity portfolio construction and selection using multiobjective mathematical programming
- A minimax portfolio selection strategy with equilibrium
- Use of stochastic and mathematical programming in portfolio theory and practice
- Portfolio optimization models
- Efficient Portfolios, Sparse Matrices, and Entities: A Retrospective
- A computational intelligence method for solving a class of portfolio optimization problems
- Large-scale MV efficient frontier computation via a procedure of parametric quadratic programming
- First-order algorithms for a class of fractional optimization problems
- Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
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