Tight upper bounds on the cardinality constrained mean-variance portfolio optimization problem using truncated eigendecomposition

DOI10.1007/978-3-319-28697-6_54zbMATH Open1341.91127OpenAlexW800331916MaRDI QIDQ2806963FDOQ2806963

Torbjörn Larsson, Fred Mayambala, Elina Rönnberg

Publication date: 19 May 2016

Published in: Operations Research Proceedings (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-28697-6_54

Recommendations

• Eigendecomposition of the mean-variance portfolio optimization model
• Bounds on efficient outcomes for large-scale cardinality-constrained Markowitz problems
• Optimal cardinality constrained portfolio selection
• Cardinality constrained portfolio selection problem: a completely positive programming approach
• A local relaxation method for the cardinality constrained portfolio optimization problem

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• An improved branch and bound algorithm for mixed integer nonlinear programs
• Perspective cuts for a class of convex 0-1 mixed integer programs
• A local relaxation method for the cardinality constrained portfolio optimization problem
• Lagrangian relaxation procedure for cardinality-constrained portfolio optimization
• Portfolio selection using neural networks
• An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints
• Heuristics for cardinality constrained portfolio optimization

Cited In (1)

• Solving cardinality constrained mean-variance portfolio problems via MILP

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