Heuristic algorithms for the cardinality constrained efficient frontier

From MaRDI portal
Publication:2275807

DOI10.1016/j.ejor.2011.03.030zbMath1218.91151OpenAlexW2067544512MaRDI QIDQ2275807

Yanyan Li

Publication date: 10 August 2011

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2011.03.030




Related Items (34)

A new efficiently encoded multiobjective algorithm for the solution of the cardinality constrained portfolio optimization problemMultiperiod mean absolute deviation fuzzy portfolio selection model with risk control and cardinality constraintsMulti-objective portfolio optimization considering the dependence structure of asset returnsInstance-based credit risk assessment for investment decisions in P2P lendingPortfolio optimization with disutility-based risk measureClassifying the minimum-variance surface of multiple-objective portfolio selection for capital asset pricing modelsNetwork models to improve robot advisory portfoliosProspect theory–based portfolio optimization: an empirical study and analysis using intelligent algorithmsMinimizing the tracking error of cardinality constrained portfoliosA new method for mean-variance portfolio optimization with cardinality constraintsSparse minimax portfolio and Sharpe ratio modelsSolving cardinality constrained mean-variance portfolio problems via MILPCardinality-constrained portfolio selection based on collaborative neurodynamic optimizationPortfolio management with higher moments: the cardinality impactComplex portfolio selection via convex mixed‐integer quadratic programming: a surveyMulti-period possibilistic mean semivariance portfolio selection with cardinality constraints and its algorithmExtracting from the relaxed for large-scale semi-continuous variable nondominated frontiersKernel search: an application to the index tracking problemOn the analytical derivation of efficient sets in quad-and-higher criterion portfolio selectionThe complexity results of the sparse optimization problems and reverse convex optimization problemsEqually weighted cardinality constrained portfolio selection via factor modelsOptimizing 3-objective portfolio selection with equality constraints and analyzing the effect of varying constraints on the efficient setsTime-consistent multiperiod mean semivariance portfolio selection with the real constraintsEquity portfolio management with cardinality constraints and risk parity control using multi-objective particle swarm optimizationPortfolio selection problems with Markowitz's mean-variance framework: a review of literatureBounds on efficient outcomes for large-scale cardinality-constrained Markowitz problemsSuccessive convex approximations to cardinality-constrained convex programs: a piecewise-linear DC approachSimultaneous pursuit of out-of-sample performance and sparsity in index tracking portfoliosA constrained multi-period robust portfolio model with behavioral factors and an interval semi-absolute deviationMixed Tabu machine for portfolio optimization problemChance-constrained multiperiod mean absolute deviation uncertain portfolio selectionA novel multi period mean-VaR portfolio optimization model considering practical constraints and transaction costMultiperiod mean absolute deviation uncertain portfolio selection with real constraintsA penalty PALM method for sparse portfolio selection problems


Uses Software


Cites Work


This page was built for publication: Heuristic algorithms for the cardinality constrained efficient frontier