Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems
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Publication:2393069
DOI10.1007/S10898-012-9842-2zbMATH Open1275.90044OpenAlexW2036699147MaRDI QIDQ2393069FDOQ2393069
X. J. Zheng, Xueting Cui, Xiaoling Sun, Shushang Zhu
Publication date: 7 August 2013
Published in: Journal of Global Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10898-012-9842-2
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portfolio selectionsemidefinite programcardinality constraintsecond-order cone programmixed 0-1 QCQP reformulation
Cites Work
- Lectures on modern convex optimization. Analysis, algorithms, and engineering applications
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- Perspective cuts for a class of convex 0-1 mixed integer programs
- SDP diagonalizations and perspective cuts for a class of nonseparable MIQP
- A computational comparison of reformulations of the perspective relaxation: SOCP vs. cutting planes
- Statistical analysis of financial networks
- Topics in semidefinite and interior-point methods
- Computational study of a family of mixed-integer quadratic programming problems
- Lagrangian relaxation procedure for cardinality-constrained portfolio optimization
- Algorithm for cardinality-constrained quadratic optimization
- An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints
- A minimax portfolio selection rule with linear programming solution
- Perspective reformulations of mixed integer nonlinear programs with indicator variables
- Financial engineering, E-commerce and supply chain
- On the use of optimization models for portfolio selection: A review and some computational results
- A note on the dynamic liquidity trading problem with a mean-variance objective
Cited In (37)
- Computing cardinality constrained portfolio selection efficient frontiers via closest correlation matrices
- Time-consistent multiperiod mean semivariance portfolio selection with the real constraints
- A penalty PALM method for sparse portfolio selection problems
- Decompositions of Semidefinite Matrices and the Perspective Reformulation of Nonseparable Quadratic Programs
- Approximated perspective relaxations: a project and lift approach
- Uncertain mean-variance model for dynamic project portfolio selection problem with divisibility
- Second order cone constrained convex relaxations for nonconvex quadratically constrained quadratic programming
- Concentrated portfolio selection models based on historical data
- Multiperiod mean absolute deviation fuzzy portfolio selection model with risk control and cardinality constraints
- Cardinality minimization, constraints, and regularization: a survey
- Techniques for accelerating branch-and-bound algorithms dedicated to sparse optimization
- Recent advances in mathematical programming with semi-continuous variables and cardinality constraint
- Global optimization for sparse solution of least squares problems
- Perspective Reformulations of Semicontinuous Quadratically Constrained Quadratic Programs
- Quadratic convex reformulation for nonconvex binary quadratically constrained quadratic programming via surrogate constraint
- Fast algorithms for sparse portfolio selection considering industries and investment styles
- Improving the Performance of MIQP Solvers for Quadratic Programs with Cardinality and Minimum Threshold Constraints: A Semidefinite Program Approach
- An Alternating Method for Cardinality-Constrained Optimization: A Computational Study for the Best Subset Selection and Sparse Portfolio Problems
- Quadratic Convex Reformulations for Semicontinuous Quadratic Programming
- An augmented Lagrangian proximal alternating method for sparse discrete optimization problems
- Solving cardinality constrained mean-variance portfolio problems via MILP
- Complex portfolio selection via convex mixed‐integer quadratic programming: a survey
- Chance-constrained multiperiod mean absolute deviation uncertain portfolio selection
- Multiperiod mean absolute deviation uncertain portfolio selection with real constraints
- Multi-period possibilistic mean semivariance portfolio selection with cardinality constraints and its algorithm
- Cardinality constrained portfolio selection problem: a completely positive programming approach
- Alternating direction method of multipliers for truss topology optimization with limited number of nodes: a cardinality-constrained second-order cone programming approach
- Bounds on efficient outcomes for large-scale cardinality-constrained Markowitz problems
- Quadratic optimization over a second-order cone with linear equality constraints
- Successive convex approximations to cardinality-constrained convex programs: a piecewise-linear DC approach
- A Unified Approach to Mixed-Integer Optimization Problems With Logical Constraints
- Sparse and risk diversification portfolio selection
- A Scalable Algorithm for Sparse Portfolio Selection
- Lagrangian relaxation procedure for cardinality-constrained portfolio optimization
- Splitting augmented Lagrangian method for optimization problems with a cardinality constraint and semicontinuous variables
- Global optimization algorithm for mixed integer quadratically constrained quadratic program
- Non-convex regularization and accelerated gradient algorithm for sparse portfolio selection
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