Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems
From MaRDI portal
Publication:2393069
DOI10.1007/s10898-012-9842-2zbMath1275.90044MaRDI QIDQ2393069
Xueting Cui, Xiaoling Sun, Xiao Jin Zheng, Shu-Shang 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
portfolio selection; semidefinite program; cardinality constraint; second-order cone program; mixed 0-1 QCQP reformulation
Related Items
Perspective Reformulations of Semicontinuous Quadratically Constrained Quadratic Programs, Global optimization for sparse solution of least squares problems, An Alternating Method for Cardinality-Constrained Optimization: A Computational Study for the Best Subset Selection and Sparse Portfolio Problems, A Scalable Algorithm for Sparse Portfolio Selection, Decompositions of Semidefinite Matrices and the Perspective Reformulation of Nonseparable Quadratic Programs, A Unified Approach to Mixed-Integer Optimization Problems With Logical Constraints, A penalty PALM method for sparse portfolio selection problems, Quadratic Convex Reformulations for Semicontinuous Quadratic Programming, Non-convex regularization and accelerated gradient algorithm for sparse portfolio selection, Sparse and risk diversification portfolio selection, Approximated perspective relaxations: a project and lift approach, Multiperiod mean absolute deviation fuzzy portfolio selection model with risk control and cardinality constraints, Recent advances in mathematical programming with semi-continuous variables and cardinality constraint, Quadratic optimization over a second-order cone with linear equality constraints, Global optimization algorithm for mixed integer quadratically constrained quadratic program, Successive convex approximations to cardinality-constrained convex programs: a piecewise-linear DC approach, Multi-period possibilistic mean semivariance portfolio selection with cardinality constraints and its algorithm, Cardinality constrained portfolio selection problem: a completely positive programming approach, Quadratic convex reformulation for nonconvex binary quadratically constrained quadratic programming via surrogate constraint, Alternating direction method of multipliers for truss topology optimization with limited number of nodes: a cardinality-constrained second-order cone programming approach, Time-consistent multiperiod mean semivariance portfolio selection with the real constraints, Fast algorithms for sparse portfolio selection considering industries and investment styles, Bounds on efficient outcomes for large-scale cardinality-constrained Markowitz problems, Uncertain mean-variance model for dynamic project portfolio selection problem with divisibility, Second order cone constrained convex relaxations for nonconvex quadratically constrained quadratic programming, An augmented Lagrangian proximal alternating method for sparse discrete optimization problems, Chance-constrained multiperiod mean absolute deviation uncertain portfolio selection, Multiperiod mean absolute deviation uncertain portfolio selection with real constraints, Splitting augmented Lagrangian method for optimization problems with a cardinality constraint and semicontinuous variables, Improving the Performance of MIQP Solvers for Quadratic Programs with Cardinality and Minimum Threshold Constraints: A Semidefinite Program Approach
Uses Software
Cites Work
- A note on the dynamic liquidity trading problem with a mean-variance objective
- Financial engineering, E-commerce and supply chain
- A computational comparison of reformulations of the perspective relaxation: SOCP vs. cutting planes
- Algorithm for cardinality-constrained quadratic optimization
- Statistical analysis of financial networks
- Topics in semidefinite and interior-point methods
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Computational study of a family of mixed-integer quadratic programming problems
- On the use of optimization models for portfolio selection: A review and some computational results
- Perspective cuts for a class of convex 0-1 mixed integer programs
- Mining market data: a network approach
- Perspective reformulations of mixed integer nonlinear programs with indicator variables
- SDP diagonalizations and perspective cuts for a class of nonseparable MIQP
- Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
- Lectures on Modern Convex Optimization
- A Minimax Portfolio Selection Rule with Linear Programming Solution
- An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints
- Lagrangian relaxation procedure for cardinality-constrained portfolio optimization
- Semidefinite Programming
