An exact solution approach for portfolio optimization problems under stochastic and integer constraints
From MaRDI portal
Publication:3100374
DOI10.1287/OPRE.1080.0599zbMATH Open1226.90049OpenAlexW3122931884MaRDI QIDQ3100374FDOQ3100374
Authors:
Publication date: 24 November 2011
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/61343748de6951d58a69935055b1cff647ab552b
Recommendations
\texttt{CPLEX}programming: stochastic\texttt{MINLP}finance: portfoliointeger: nonlinear, branch-and-boundprobability: distributions
Cited In (61)
- A short note on super-hedging an arbitrary number of European options with integer-valued strategies
- Cardinality minimization, constraints, and regularization: a survey
- Title not available (Why is that?)
- A multi-objective firefly algorithm for practical portfolio optimization problem
- Distributionally robust portfolio optimization with linearized STARR performance measure
- Improving the performance of MIQP solvers for quadratic programs with cardinality and minimum threshold constraints: a semidefinite program approach
- A smooth non-parametric estimation framework for safety-first portfolio optimization
- A Frank-Wolfe based branch-and-bound algorithm for mean-risk optimization
- Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints
- Dynamic trading under integer constraints
- A unified approach to mixed-integer optimization problems with logical constraints
- Solving a mixed-integer multiobjective bond portfolio model involving logical conditions
- Capacitated disassembly scheduling under stochastic yield and demand
- Portfolio optimization using Laplacian biogeography based optimization
- Smoothing and regularization for mixed-integer second-order cone programming with applications in portfolio optimization
- Recent advances in mathematical programming with semi-continuous variables and cardinality constraint
- Sparse Markowitz portfolio selection by using stochastic linear complementarity approach
- A numerical method for interval multi-objective mixed-integer optimal control problems based on quantum heuristic algorithm
- A sequential algorithm for solving nonlinear optimization problems with chance constraints
- Multiobjective portfolio optimization: bridging mathematical theory with asset management practice
- Stochastic programming technique for portfolio optimization with minimax risk and bounded parameters
- Chance-constrained problems and rare events: an importance sampling approach
- Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs
- New reformulations for probabilistically constrained quadratic programs
- Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments
- Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization
- An Alternating Method for Cardinality-Constrained Optimization: A Computational Study for the Best Subset Selection and Sparse Portfolio Problems
- Game Theoretical Approach for Reliable Enhanced Indexation
- Capital rationing problems under uncertainty and risk
- An augmented Lagrangian proximal alternating method for sparse discrete optimization problems
- Complex portfolio selection via convex mixed‐integer quadratic programming: a survey
- A simheuristic algorithm for the portfolio optimization problem with random returns and noisy covariances
- A disjunctive cut strengthening technique for convex MINLP
- A new algorithm for quadratic integer programming problems with cardinality constraint
- Convexification of queueing formulas by mixed-integer second-order cone programming: an application to a discrete location problem with congestion
- Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems
- Portfolio-optimization models for small investors
- Mixed-Integer Convex Nonlinear Optimization with Gradient-Boosted Trees Embedded
- Advances and applications of chance-constrained approaches to systems optimisation under uncertainty
- Cardinality constrained portfolio selection problem: a completely positive programming approach
- Lifted polymatroid inequalities for mean-risk optimization with indicator variables
- Tight upper bounds on the cardinality constrained mean-variance portfolio optimization problem using truncated eigendecomposition
- Data-Driven Optimization of Reward-Risk Ratio Measures
- Extracting from the relaxed for large-scale semi-continuous variable nondominated frontiers
- An algebraic approach to integer portfolio problems
- Heuristic algorithms for the cardinality constrained efficient frontier
- A VaR Black-Litterman model for the construction of absolute return fund-of-funds
- Lagrangian decomposition and mixed-integer quadratic programming reformulations for probabilistically constrained quadratic programs
- On valid inequalities for mixed integer \(p\)-order cone programming
- Title not available (Why is that?)
- Quadratic convex reformulations for semicontinuous quadratic programming
- Successive convex approximations to cardinality-constrained convex programs: a piecewise-linear DC approach
- A novel probabilistic formulation for locating and sizing emergency medical service stations
- Twenty years of linear programming based portfolio optimization
- A Scalable Algorithm for Sparse Portfolio Selection
- Title not available (Why is that?)
- Exact solution methods for the \(k\)-item quadratic knapsack problem
- Splitting augmented Lagrangian method for optimization problems with a cardinality constraint and semicontinuous variables
- Properties, formulations, and algorithms for portfolio optimization using mean-Gini criteria
- Solving chance-constrained optimization problems with stochastic quadratic inequalities
- Portfolio Optimization with Nonparametric Value at Risk: A Block Coordinate Descent Method
Uses Software
This page was built for publication: An exact solution approach for portfolio optimization problems under stochastic and integer constraints
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3100374)
