Efficient Cardinality/Mean-Variance Portfolios

DOI10.1007/978-3-662-45504-3_6zbMath1322.91050OpenAlexW2154266265WikidataQ58040520 ScholiaQ58040520MaRDI QIDQ2950096

Unnamed Author, Luis Nunes Vicente

Publication date: 6 October 2015

Published in: IFIP Advances in Information and Communication Technology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-662-45504-3_6

zbMATH Keywords

multiobjective optimizationcardinalityportfolio selectionderivative-free optimizationefficient frontiersparse portfolios

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Applications of mathematical programming (90C90) Multi-objective and goal programming (90C29) Portfolio theory (91G10)

Related Items (6)

A penalty decomposition approach for multi-objective cardinality-constrained optimization problems ⋮ A concave optimization-based approach for sparse multiobjective programming ⋮ On nonsmooth robust multiobjective optimization under generalized convexity with applications to portfolio optimization ⋮ Approximate solution in robust multi-objective optimization and its application in portfolio optimization ⋮ Portfolio management with higher moments: the cardinality impact ⋮ Least-squares approach to risk parity in portfolio selection

Uses Software

• Matlab
• SPSS

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