Minimization of the ratio of functions defined as sums of the absolute values

DOI10.1007/S10957-007-9284-ZMaRDI QIDQ2483046zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 5 May 2008

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10957-007-9284-z

zbMATH Keywords

0-1 integer programmingGlobal optimizationPortfolio optimizationBranch and bound algorithmsFractional programming problems

Mathematics Subject Classification ID

Fractional programming (90C32) Polyhedral combinatorics, branch-and-bound, branch-and-cut (90C57) Nonconvex programming, global optimization (90C26) Boolean programming (90C09)

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Cites work

• scientific article; zbMATH DE number 757682 (Why is no real title available?)
• An efficient algorithm for solving convex-convex quadratic fractional programs
• Decomposition branch and bound method for globally solving linearly constrained indefinite quadratic minimization problems
• MAXIMIZING PREDICTABILITY IN THE STOCK AND BOND MARKETS
• Maximization of the ratio of two convex quadratic functions over a polytope
• On Nonlinear Fractional Programming
• Optimization on low rank nonconvex structures
• Programming with linear fractional functionals

Cited in

(13)

• A maximal predictability portfolio using dynamic factor selection strategy
• Minimizing the sum of many rational functions
• Construction of a portfolio with shorter downside tail and longer upside tail
• Convex optimization approaches to maximally predictable portfolio selection
• On fractional programming problems with absolute-value functions
• Duality-based branch-bound computational algorithm for sum-of-linear-fractional multi-objective optimization problem
• A solution approach for cardinality minimization problem based on fractional programming
• An approximate approach for fractional programming with absolute-value functions
• Fractional programming with absolute-value functions
• A MAXIMAL PREDICTABILITY PORTFOLIO SUBJECT TO A TURNOVER CONSTRAINT
• scientific article; zbMATH DE number 3945903 (Why is no real title available?)
• A maximal predictability portfolio using absolute deviation reformulation
• First-order algorithms for a class of fractional optimization problems

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