Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems
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Publication:2393069
DOI10.1007/s10898-012-9842-2zbMath1275.90044OpenAlexW2036699147MaRDI 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 selectionsemidefinite programcardinality constraintsecond-order cone programmixed 0-1 QCQP reformulation
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Uses Software
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