A new method for mean-variance portfolio optimization with cardinality constraints
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Cites work
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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
- Approximating exact expected utility via portfolio efficient frontiers
- Concentrated portfolio selection models based on historical data
- Equally weighted cardinality constrained portfolio selection via factor models
- Multiperiod mean absolute deviation fuzzy portfolio selection model with risk control and cardinality constraints
- Optimal decision for the market graph identification problem in a sign similarity network
- Sparse Markowitz portfolio selection by using stochastic linear complementarity approach
- Cardinality minimization, constraints, and regularization: a survey
- 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
- Adaptive \(l_1\)-regularization for short-selling control in portfolio selection
- Cardinality-constrained portfolio selection based on collaborative neurodynamic optimization
- Solving cardinality constrained mean-variance portfolio problems via MILP
- The KKT optimality conditions for optimization problem with interval-valued objective function on Hadamard manifolds
- Clustering of time series via non-parametric tail dependence estimation
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- A low-cost alternating projection approach for a continuous formulation of convex and cardinality constrained optimization
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- Portfolio optimization of financial commodities with energy futures
- Nonsmooth hierarchical multi portfolio selection
- Network models to improve robot advisory portfolios
- Optimal cardinality constrained portfolio selection
- On exact and approximate stochastic dominance strategies for portfolio selection
- Stock market prediction and portfolio selection models: a survey
- Time consistent expected mean-variance in multistage stochastic quadratic optimization: a model and a matheuristic
- A Risk Extended Version of Merton’s Optimal Consumption and Portfolio Selection
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- Bounds on efficient outcomes for large-scale cardinality-constrained Markowitz problems
- Equal risk bounding is better than risk parity for portfolio selection
- A stochastic programming approach to multicriteria portfolio optimization
- A possibilistic programming approach to portfolio optimization problem under fuzzy data
- A novel methodology for perception-based portfolio management
- Copulas, diagonals, and tail dependence
- Optimization of cardinality constrained portfolios with a hybrid local search algorithm
- A new method for mean-variance portfolio optimization with cardinality constraints
- 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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