Large-Scale Portfolio Optimization
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Publication:3340464
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Cited in
(only showing first 100 items - show all)- 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
- Penalty algorithm based on conjugate gradient method for solving portfolio management problem
- Stock market prediction and portfolio selection models: a survey
- A mean-absolute deviation-skewness portfolio optimization model
- Multi-stage stochastic linear programs for portfolio optimization
- Fuzzy chance-constrained portfolio selection
- A bi‐level programming framework for identifying optimal parameters in portfolio selection
- A local relaxation method for the cardinality constrained portfolio optimization problem
- Cloud-assisted privacy-conscious large-scale Markowitz portfolio
- Large scale portfolio selection with synergies
- Portfolio optimization with linear and fixed transaction costs
- Epsilon-dominating solutions in mean-variance portfolio analysis
- Portfolio selection based on distance between fuzzy variables
- A branch-and-bound algorithm for discrete multi-factor portfolio optimization model
- Cardinality-constrained distributionally robust portfolio optimization
- Efficient implementation of an active set algorithm for large-scale portfolio selection
- A fuzzy goal programming approach to portfolio selection
- Tail nonlinearly transformed risk measure and its application
- Portfolio selection under possibilistic mean-variance utility and a SMO algorithm
- Mean-variance-skewness model for portfolio selection with transaction costs
- A Stochastic Generalized Network Model and Large-Scale Mean-Variance Algorithm for Portfolio Selection
- Simulated annealing for complex portfolio selection problems.
- Possibilistic mean-standard deviation models to portfolio selection for bounded assets
- Recursive portfolio management: Large-scale evidence from two Scandinavian stock markets
- A mean-variance portfolio selection model with interval-valued possibility measures
- A computational intelligence method for solving a class of portfolio optimization problems
- On valid inequalities for mixed integer \(p\)-order cone programming
- Sequential quadratic optimization for stochastic optimization with deterministic nonlinear inequality and equality constraints
- On admissible efficient portfolio selection: models and algorithms
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