A discrete multi-factor portfolio optimization model with cardinality constraints
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Publication:3108922
zbMATH Open1240.91153MaRDI QIDQ3108922FDOQ3108922
Authors: Shufen Niu, Li Chen 
Publication date: 27 January 2012
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portfolio optimizationLagrangian relaxationbranch-and-bound methodcardinality constraintdiscrete multi-factor model
Polyhedral combinatorics, branch-and-bound, branch-and-cut (90C57) Portfolio theory (91G10) Integer programming (90C10)
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- An exact algorithm for factor model in portfolio selection with roundlot constraints
- Equally weighted cardinality constrained portfolio selection via factor models
- OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION
- A continuous optimization approach for financial portfolio selection under discrete asset choice constraints
- Discrete portfolio optimization with industry constraints and transaction cost
- A branch-and-bound algorithm for discrete multi-factor portfolio optimization model
- Heuristics for cardinality constrained portfolio optimization
- An empirical study on discrete optimization models for portfolio selection
- Multi-period mean-variance optimization with cardinality constraints
- Lagrangian relaxation procedure for cardinality-constrained portfolio optimization
- A multistage stochastic programming framework for cardinality constrained portfolio optimization
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