Large-Scale Portfolio Optimization
From MaRDI portal
Publication:3340464
Recommendations
- SOLVING LARGE SCALE MEAN-VARIANCE MODELS WITH DENSE NON-FACTORABLE COVARIANCE MATRICES
- A FAST ALGORITHM FOR SOLVING LARGE SCALE MEAN-VARIANCE MODELS BY COMPACT FACTORIZATION OF COVARIANCE MATRICES
- Large scale portfolio optimization with piecewise linear transaction costs
- Portfolio optimization with linear and fixed transaction costs
- Portfolio Optimization with Factors, Scenarios, and Realistic Short Positions
Cited in
(only showing first 100 items - show all)- Vast portfolio selection with gross-exposure constraints
- An exact algorithm for factor model in portfolio selection with roundlot constraints
- On admissible efficient portfolio selection: models and algorithms
- Simulated annealing for complex portfolio selection problems.
- A simplex algorithm for piecewise-linear programming I: Derivation and proof
- Possibilistic mean-standard deviation models to portfolio selection for bounded assets
- Perspective reformulation and applications
- Valid inequalities for quadratic optimisation with domain constraints
- Portfolio optimization with transaction costs: a two-period mean-variance model
- A computational intelligence method for solving a class of portfolio optimization problems
- A bi‐level programming framework for identifying optimal parameters in portfolio selection
- A class of possibilistic portfolio selection model with interval coefficients and its application
- A fuzzy goal programming approach to portfolio selection
- On admissible efficient portfolio selection policy
- The explicit derivation of the efficient portfolio frontier in the case of degeneracy and general singularity
- A FAST ALGORITHM FOR SOLVING LARGE SCALE MEAN-VARIANCE MODELS BY COMPACT FACTORIZATION OF COVARIANCE MATRICES
- Semi-continuous network flow problems
- A local relaxation method for the cardinality constrained portfolio optimization problem
- Large scale portfolio optimization with piecewise linear transaction costs
- Epsilon-dominating solutions in mean-variance portfolio analysis
- On the application of an augmented Lagrangian algorithm to some portfolio problems
- DC programming and DCA for solving Brugnano-Casulli piecewise linear systems
- Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function
- On the use of optimization models for portfolio selection: A review and some computational results
- The mean-absolute deviation portfolio selection problem with interval-valued returns
- Portfolio selection models based on Cross-entropy of uncertain variables
- On admissible efficient portfolio selection problem
- Computational study of a family of mixed-integer quadratic programming problems
- Portfolio replication: its forward-dual decomposition
- A CHANCE-CONSTRAINED PORTFOLIO SELECTION PROBLEM UNDER t-DISTRIBUTION
- The optimal portfolio problem with coherent risk measure constraints.
- MINIMAL COST INDEX TRACKING UNDER NONLINEAR TRANSACTION COSTS AND MINIMAL TRANSACTION UNIT CONSTRAINTS
- Portfolio selection under possibilistic mean-variance utility and a SMO algorithm
- Uncertain programming models for portfolio selection with uncertain returns
- Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization
- A special ordered set approach for optimizing a discontinuous separable piecewise linear function
- A polyhedral study of the semi-continuous knapsack problem
- Some new results on value ranges of risks for mean-variance portfolio models
- Weighted portfolio selection models based on possibility theory
- Rebalancing an investment portfolio in the presence of convex transaction costs, including market impact costs
- Optimal investment strategies with bounded risks, general utilities, and goal achieving
- The piecewise linear optimization polytope: new inequalities and intersection with semi-continuous constraints
- Two nonparametric approaches to mean absolute deviation portfolio selection model
- Sensitivity to estimation errors in mean-variance models
- Perspective reformulations of mixed integer nonlinear programs with indicator variables
- On mean-variance portfolio optimization
- Multiobjective portfolio optimization: bridging mathematical theory with asset management practice
- An open-source implementation of the critical-line algorithm for portfolio optimization
- Penalty algorithm based on conjugate gradient method for solving portfolio management problem
- Efficient implementation of an active set algorithm for large-scale portfolio selection
- A hybrid intelligent algorithm for portfolio selection problem with fuzzy returns
- A maximal predictability portfolio using absolute deviation reformulation
- Cutting plane algorithms for mean-CVaR portfolio optimization with nonconvex transaction costs
- Perspective Relaxation of Mixed Integer Nonlinear Programs with Indicator Variables
- Possibilistic mean-variance models and efficient frontiers for portfolio selection problem
- A class of on-line portfolio selection algorithms based on linear learning
- Stock market prediction and portfolio selection models: a survey
- Financial planning via multi-stage stochastic optimization.
- Fuzzy chance-constrained portfolio selection
- A Krylov subspace approach to large portfolio optimization
- Portfolio optimization with linear and fixed transaction costs
- An analytic derivation of admissible efficient frontier with borrowing
- A fuzzy portfolio selection method based on possibilistic mean and variance
- Enhancement of the applicability of Markowitz's portfolio optimization by utilizing random matrix theory
- An improved estimation to make Markowitz's portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment
- Recursive portfolio management: Large-scale evidence from two Scandinavian stock markets
- Fast gradient descent method for mean-CVaR optimization
- A mean-absolute deviation-skewness portfolio optimization model
- Optimization of a long-short portfolio under nonconvex transaction cost
- Multi-stage stochastic linear programs for portfolio optimization
- Portfolio selection based on fuzzy cross-entropy
- Data-driven portfolio management with quantile constraints
- Cardinality-constrained distributionally robust portfolio optimization
- Portfolio Optimization with Factors, Scenarios, and Realistic Short Positions
- Branch-and-cut for separable piecewise linear optimization and intersection with semi-continuous constraints
- Stochastic network optimization models for investment planning
- Robust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures
- A fuzzy portfolio selection model with background risk
- On valid inequalities for mixed integer \(p\)-order cone programming
- Mean-variance-skewness model for portfolio selection with transaction costs
- On the selection of an efficient portfolio in the mean-variance approach
- Efficient Portfolios, Sparse Matrices, and Entities: A Retrospective
- A general system for heuristic minimization of convex functions over non-convex sets
- Fast recursive portfolio optimization
- A branch-and-bound algorithm for discrete multi-factor portfolio optimization model
- HIERARCHICAL DECISION MAKING IN STRATEGIC INVESTMENT BY A BOLTZMANN MACHINE
- A LINEAR-PROGRAMMING PORTFOLIO OPTIMIZER TO MEAN–VARIANCE OPTIMIZATION
- PORTFOLIO OPTIMIZATION OF SMALL SCALE FUND USING MEAN-ABSOLUTE DEVIATION MODEL
- A new mean-variance-entropy model for uncertain portfolio optimization with liquidity and diversification
- A new global algorithm for factor-risk-constrained mean-variance portfolio selection
- Multi-market portfolio optimization with conditional value at risk
- Cloud-assisted privacy-conscious large-scale Markowitz portfolio
- Analysis of Kelly-optimal portfolios
- Portfolio optimization model with transaction costs.
- Mean-variance efficient large portfolios: a simple machine learning heuristic technique based on the two-fund separation theorem
- A mean-variance portfolio selection model with interval-valued possibility measures
- A Stochastic Generalized Network Model and Large-Scale Mean-Variance Algorithm for Portfolio Selection
- Portfolio selection based on distance between fuzzy variables
- Portfolio selection with multiple spectral risk constraints
- Sequential quadratic optimization for stochastic optimization with deterministic nonlinear inequality and equality constraints
This page was built for publication: Large-Scale Portfolio Optimization
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3340464)
