Large-Scale Portfolio Optimization
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Publication:3340464
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Cited in
(only showing first 100 items - show all)- On the use of optimization models for portfolio selection: A review and some computational results
- Efficient Portfolios, Sparse Matrices, and Entities: A Retrospective
- Perspective Relaxation of Mixed Integer Nonlinear Programs with Indicator Variables
- A polyhedral study of the semi-continuous knapsack problem
- Eigendecomposition of the mean-variance portfolio optimization model
- Portfolio selection with multiple spectral risk constraints
- On admissible efficient portfolio selection policy
- A maximal predictability portfolio using absolute deviation reformulation
- Fuzzy portfolio model with fuzzy-input return rates and fuzzy-output proportions
- Weighted portfolio selection models based on possibility theory
- The piecewise linear optimization polytope: new inequalities and intersection with semi-continuous constraints
- Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization
- Large-Scale Loan Portfolio Selection
- Portfolio selection models based on Cross-entropy of uncertain variables
- DC programming and DCA for solving Brugnano-Casulli piecewise linear systems
- A Scalable Algorithm for Sparse Portfolio Selection
- An open-source implementation of the critical-line algorithm for portfolio optimization
- Fast recursive portfolio optimization
- Large scale portfolio optimization with piecewise linear transaction costs
- Cutting plane algorithms for mean-CVaR portfolio optimization with nonconvex transaction costs
- A new optimal portfolio selection strategy based on a quadratic form mean-variance model with transaction costs
- A class of on-line portfolio selection algorithms based on linear learning
- On mean-variance portfolio optimization
- Mean-variance efficient large portfolios: a simple machine learning heuristic technique based on the two-fund separation theorem
- Maximum Entropy Bi-Objective Model and its Evolutionary Algorithm for Portfolio Optimization
- HIERARCHICAL DECISION MAKING IN STRATEGIC INVESTMENT BY A BOLTZMANN MACHINE
- A fuzzy portfolio selection method based on possibilistic mean and variance
- Some new results on value ranges of risks for mean-variance portfolio models
- Portfolio optimization with transaction costs: a two-period mean-variance model
- A special ordered set approach for optimizing a discontinuous separable piecewise linear function
- Semi-continuous network flow problems
- High order Newton's method for portfolio optimization model
- Rebalancing an investment portfolio in the presence of convex transaction costs, including market impact costs
- Distributionally robust optimization with Wasserstein metric for multi-period portfolio selection under uncertainty
- A new mean-variance-entropy model for uncertain portfolio optimization with liquidity and diversification
- PORTFOLIO OPTIMIZATION OF SMALL SCALE FUND USING MEAN-ABSOLUTE DEVIATION MODEL
- Portfolio optimization model with transaction costs.
- Two nonparametric approaches to mean absolute deviation portfolio selection model
- Vast portfolio selection with gross-exposure constraints
- Robust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures
- Valid inequalities for quadratic optimisation with domain constraints
- The optimal portfolio problem with coherent risk measure constraints.
- A simplex algorithm for piecewise-linear programming I: Derivation and proof
- A FAST ALGORITHM FOR SOLVING LARGE SCALE MEAN-VARIANCE MODELS BY COMPACT FACTORIZATION OF COVARIANCE MATRICES
- Optimization of a long-short portfolio under nonconvex transaction cost
- Analysis of Kelly-optimal portfolios
- A general system for heuristic minimization of convex functions over non-convex sets
- A CHANCE-CONSTRAINED PORTFOLIO SELECTION PROBLEM UNDER t-DISTRIBUTION
- An exact algorithm for factor model in portfolio selection with roundlot constraints
- Fast quadratic programming for mean-variance portfolio optimisation
- Portfolio selection based on fuzzy cross-entropy
- Impact of error in parameter estimations on large scale portfolio optimization
- On the application of an augmented Lagrangian algorithm to some portfolio problems
- Portfolio optimization: a mean field theory approach
- Multi-market portfolio optimization with conditional value at risk
- Uncertain programming models for portfolio selection with uncertain returns
- Algorithm for constructing the efficient frontier of an investment portfolio
- Branch-and-cut for separable piecewise linear optimization and intersection with semi-continuous constraints
- Multiobjective portfolio optimization: bridging mathematical theory with asset management practice
- Portfolio Optimization with Factors, Scenarios, and Realistic Short Positions
- The mean-absolute deviation portfolio selection problem with interval-valued returns
- Optimal investment strategies with bounded risks, general utilities, and goal achieving
- Stochastic network optimization models for investment planning
- On the selection of an efficient portfolio in the mean-variance approach
- Massively parallel processing of recursive multi-period portfolio models
- Convex optimization approaches to maximally predictable portfolio selection
- On admissible efficient portfolio selection problem
- Portfolio selection with conditional covariance matrix and nonlinear programming
- A hybrid intelligent algorithm for portfolio selection problem with fuzzy returns
- Comparative issues between linear and non-linear risk measures for non-convex portfolio optimization: evidence from the S&P 500
- A fuzzy portfolio selection model with background risk
- The explicit derivation of the efficient portfolio frontier in the case of degeneracy and general singularity
- Fast gradient descent method for mean-CVaR optimization
- Possibilistic mean-variance models and efficient frontiers for portfolio selection problem
- Fast algorithms for sparse portfolio selection considering industries and investment styles
- Nonconvex multi-period mean-variance portfolio optimization
- Financial planning via multi-stage stochastic optimization.
- A class of possibilistic portfolio selection model with interval coefficients and its application
- Data-driven portfolio management with quantile constraints
- Sensitivity to estimation errors in mean-variance models
- An improved estimation to make Markowitz's portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment
- Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function
- Perspective reformulation and applications
- Portfolio replication: its forward-dual decomposition
- An interior point algorithm for large scale portfolio optimization
- Mean-variance portfolio management with functional optimization
- An analytic derivation of admissible efficient frontier with borrowing
- A Krylov subspace approach to large portfolio optimization
- Specifying the systematic risk of portfolios : a closed form solution
- Complex portfolio selection via convex mixed‐integer quadratic programming: a survey
- Perspective reformulations of mixed integer nonlinear programs with indicator variables
- A LINEAR-PROGRAMMING PORTFOLIO OPTIMIZER TO MEAN–VARIANCE OPTIMIZATION
- A new global algorithm for factor-risk-constrained mean-variance portfolio selection
- MINIMAL COST INDEX TRACKING UNDER NONLINEAR TRANSACTION COSTS AND MINIMAL TRANSACTION UNIT CONSTRAINTS
- Large portfolio allocation using high-frequency financial data
- Computational study of a family of mixed-integer quadratic programming problems
- scientific article; zbMATH DE number 2143158 (Why is no real title available?)
- Enhancement of the applicability of Markowitz's portfolio optimization by utilizing random matrix theory
- Mean-variance portfolio optimization with parameter sensitivity control
- Computational study of a family of mixed-integer quadratic programming problems
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