Solving continuous min max problem for single period portfolio selection with discrete constraints by DCA

DOI10.1080/02331934.2011.593179zbMath1252.90067OpenAlexW2041327106MaRDI QIDQ3165910

Hoai An Le Thi, Duc Quynh Tran

Publication date: 19 October 2012

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331934.2011.593179

zbMATH Keywords

DCAworst-case analysisDC programmingexact penaltycontinuous min--max model

Mathematics Subject Classification ID

Nonconvex programming, global optimization (90C26) Combinatorial optimization (90C27) Applications of operator theory in optimization, convex analysis, mathematical programming, economics (47N10) Portfolio theory (91G10)

Related Items

DC Programming and DCA for General DC Programs ⋮ DC programming and DCA: thirty years of developments

Cites Work

• Heuristics for cardinality constrained portfolio optimization
• Robust min-max portfolio strategies for rival forecast and risk scenarios
• The DC (Difference of convex functions) programming and DCA revisited with DC models of real world nonconvex optimization problems
• A continuous approch for globally solving linearly constrained quadratic
• Robust investment strategies with discrete asset choice constraints using DC programming

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