A new method for mean-variance portfolio optimization with cardinality constraints
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Publication:2393351
DOI10.1007/S10479-012-1165-7zbMATH Open1269.91069OpenAlexW2056405418MaRDI QIDQ2393351FDOQ2393351
Authors: Francesco Cesarone, Andrea Scozzari, Fabio Tardella 
Publication date: 7 August 2013
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-012-1165-7
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portfolio managementcardinality constraintsstandard quadratic optimizationmixed integer quadratic programming
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Cited In (47)
- Time-consistent multiperiod mean semivariance portfolio selection with the real constraints
- A linear risk-return model for enhanced indexation in portfolio optimization
- Portfolio optimization model with and without options under additional constraints
- Equilibrium selection for multi-portfolio optimization
- A Frank-Wolfe based branch-and-bound algorithm for mean-risk optimization
- Concentrated portfolio selection models based on historical data
- Approximating exact expected utility via portfolio efficient frontiers
- Equally weighted cardinality constrained portfolio selection via factor models
- Multiperiod mean absolute deviation fuzzy portfolio selection model with risk control and cardinality constraints
- Cardinality minimization, constraints, and regularization: a survey
- Optimal decision for the market graph identification problem in a sign similarity network
- Sparse Markowitz portfolio selection by using stochastic linear complementarity approach
- Cardinality-constrained portfolio selection based on collaborative neurodynamic optimization
- Adaptive \(l_1\)-regularization for short-selling control in portfolio selection
- Minimizing the tracking error of cardinality constrained portfolios
- Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization
- The KKT optimality conditions for optimization problem with interval-valued objective function on Hadamard manifolds
- Solving cardinality constrained mean-variance portfolio problems via MILP
- Complex portfolio selection via convex mixed‐integer quadratic programming: a survey
- Clustering of time series via non-parametric tail dependence estimation
- A low-cost alternating projection approach for a continuous formulation of convex and cardinality constrained optimization
- Nonsmooth hierarchical multi portfolio selection
- Chance-constrained multiperiod mean absolute deviation uncertain portfolio selection
- Portfolio optimization of financial commodities with energy futures
- Network models to improve robot advisory portfolios
- Optimal cardinality constrained portfolio selection
- On exact and approximate stochastic dominance strategies for portfolio selection
- A Risk Extended Version of Merton’s Optimal Consumption and Portfolio Selection
- Time consistent expected mean-variance in multistage stochastic quadratic optimization: a model and a matheuristic
- Stock market prediction and portfolio selection models: a survey
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- Bounds on efficient outcomes for large-scale cardinality-constrained Markowitz problems
- A possibilistic programming approach to portfolio optimization problem under fuzzy data
- Equal risk bounding is better than risk parity for portfolio selection
- A stochastic programming approach to multicriteria portfolio optimization
- A novel methodology for perception-based portfolio management
- Optimization of cardinality constrained portfolios with a hybrid local search algorithm
- A new method for mean-variance portfolio optimization with cardinality constraints
- Copulas, diagonals, and tail dependence
- Clustering and portfolio selection problems: a unified framework
- Efficient cardinality/mean-variance portfolios
- An optimization-diversification approach to portfolio selection
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- A combinatorial optimization approach to scenario filtering in portfolio selection
- Asset allocation: new evidence through network approaches
- On the exactness of the \(\varepsilon\)-constraint method for biobjective nonlinear integer programming
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