An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints
From MaRDI portal
Publication:3100374
DOI10.1287/opre.1080.0599zbMath1226.90049OpenAlexW3122931884MaRDI QIDQ3100374
No author found.
Publication date: 24 November 2011
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/61343748de6951d58a69935055b1cff647ab552b
\texttt{CPLEX}programming: stochastic\texttt{MINLP}finance: portfoliointeger: nonlinear, branch-and-boundprobability: distributions
Related Items
Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints ⋮ Multiobjective portfolio optimization: bridging mathematical theory with asset management practice ⋮ A disjunctive cut strengthening technique for convex MINLP ⋮ Chance-constrained problems and rare events: an importance sampling approach ⋮ New reformulations for probabilistically constrained quadratic programs ⋮ Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization ⋮ Convexification of Queueing Formulas by Mixed-Integer Second-Order Cone Programming: An Application to a Discrete Location Problem with Congestion ⋮ An Alternating Method for Cardinality-Constrained Optimization: A Computational Study for the Best Subset Selection and Sparse Portfolio Problems ⋮ A numerical method for interval multi-objective mixed-integer optimal control problems based on quantum heuristic algorithm ⋮ Distributionally robust portfolio optimization with linearized STARR performance measure ⋮ Portfolio-optimization models for small investors ⋮ Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems ⋮ Mixed-Integer Convex Nonlinear Optimization with Gradient-Boosted Trees Embedded ⋮ Data-Driven Optimization of Reward-Risk Ratio Measures ⋮ A new algorithm for quadratic integer programming problems with cardinality constraint ⋮ A Scalable Algorithm for Sparse Portfolio Selection ⋮ Improving the Performance of MIQP Solvers for Quadratic Programs with Cardinality and Minimum Threshold Constraints: A Semidefinite Program Approach ⋮ Recent advances in mathematical programming with semi-continuous variables and cardinality constraint ⋮ A simheuristic algorithm for the portfolio optimization problem with random returns and noisy covariances ⋮ Lagrangian decomposition and mixed-integer quadratic programming reformulations for probabilistically constrained quadratic programs ⋮ Quadratic Convex Reformulations for Semicontinuous Quadratic Programming ⋮ Complex portfolio selection via convex mixed‐integer quadratic programming: a survey ⋮ Lifted polymatroid inequalities for mean-risk optimization with indicator variables ⋮ Cardinality constrained portfolio selection problem: a completely positive programming approach ⋮ Extracting from the relaxed for large-scale semi-continuous variable nondominated frontiers ⋮ Capital rationing problems under uncertainty and risk ⋮ Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments ⋮ Sparse Markowitz portfolio selection by using stochastic linear complementarity approach ⋮ A smooth non-parametric estimation framework for safety-first portfolio optimization ⋮ Portfolio Optimization with Nonparametric Value at Risk: A Block Coordinate Descent Method ⋮ A Firefly Algorithm for Portfolio Optimization ⋮ A novel probabilistic formulation for locating and sizing emergency medical service stations ⋮ A Sequential Algorithm for Solving Nonlinear Optimization Problems with Chance Constraints ⋮ Capacitated disassembly scheduling under stochastic yield and demand ⋮ A Unified Approach to Mixed-Integer Optimization Problems With Logical Constraints ⋮ Properties, formulations, and algorithms for portfolio optimization using mean-Gini criteria ⋮ A VaR Black–Litterman model for the construction of absolute return fund-of-funds ⋮ Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs ⋮ On valid inequalities for mixed integer \(p\)-order cone programming ⋮ Smoothing and Regularization for Mixed-Integer Second-Order Cone Programming with Applications in Portfolio Optimization ⋮ An algebraic approach to integer portfolio problems ⋮ Portfolio optimization using Laplacian biogeography based optimization ⋮ Heuristic algorithms for the cardinality constrained efficient frontier ⋮ Dynamic trading under integer constraints ⋮ Game Theoretical Approach for Reliable Enhanced Indexation ⋮ Twenty years of linear programming based portfolio optimization ⋮ Tight Upper Bounds on the Cardinality Constrained Mean-Variance Portfolio Optimization Problem Using Truncated Eigendecomposition ⋮ Successive convex approximations to cardinality-constrained convex programs: a piecewise-linear DC approach ⋮ An augmented Lagrangian proximal alternating method for sparse discrete optimization problems ⋮ Splitting augmented Lagrangian method for optimization problems with a cardinality constraint and semicontinuous variables ⋮ Solving Chance-Constrained Optimization Problems with Stochastic Quadratic Inequalities ⋮ Exact Solution Methods for the k-Item Quadratic Knapsack Problem ⋮ Advances and applications of chance-constrained approaches to systems optimisation under uncertainty
Uses Software
