Long-short portfolio optimization under cardinality constraints by difference of convex functions algorithm
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Publication:2247924
DOI10.1007/s10957-012-0197-0zbMath1300.91046MaRDI QIDQ2247924
Publication date: 30 June 2014
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10957-012-0197-0
DCA; mixed integer programming; cardinality constraints; portfolio selection; complementarity constraints; DC programming; threshold constraints
Uses Software