Tight upper bounds on the cardinality constrained mean-variance portfolio optimization problem using truncated eigendecomposition
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Publication:2806963
DOI10.1007/978-3-319-28697-6_54zbMATH Open1341.91127OpenAlexW800331916MaRDI QIDQ2806963FDOQ2806963
Authors: Fred Mayambala, Elina Rönnberg, Torbjörn Larsson 
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
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- Eigendecomposition of the mean-variance portfolio optimization model
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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 (4)
- Solving cardinality constrained mean-variance portfolio problems via MILP
- A local relaxation method for the cardinality constrained portfolio optimization problem
- Bounds on efficient outcomes for large-scale cardinality-constrained Markowitz problems
- Eigendecomposition of the mean-variance portfolio optimization model
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