Tight upper bounds on the cardinality constrained mean-variance portfolio optimization problem using truncated eigendecomposition
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Publication:2806963
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Cites work
- A local relaxation method for the cardinality constrained portfolio optimization problem
- An exact solution approach for portfolio optimization problems under stochastic and integer constraints
- An improved branch and bound algorithm for mixed integer nonlinear programs
- Heuristics for cardinality constrained portfolio optimization
- Lagrangian relaxation procedure for cardinality-constrained portfolio optimization
- Perspective cuts for a class of convex 0-1 mixed integer programs
- Portfolio selection using neural networks
Cited in
(4)- A local relaxation method for the cardinality constrained portfolio optimization problem
- Solving cardinality constrained mean-variance portfolio problems via MILP
- Eigendecomposition of the mean-variance portfolio optimization model
- Bounds on efficient outcomes for large-scale cardinality-constrained Markowitz problems
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