Lagrangian relaxation procedure for cardinality-constrained portfolio optimization
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Publication:3514845
DOI10.1080/10556780701722542zbMATH Open1162.90531OpenAlexW2063004221MaRDI QIDQ3514845FDOQ3514845
Authors: Shucheng Liu, L. Kopman, Dong X. Shaw 
Publication date: 23 July 2008
Published in: Optimization Methods \& Software (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10556780701722542
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- Equity portfolio management with cardinality constraints and risk parity control using multi-objective particle swarm optimization
- Equally weighted cardinality constrained portfolio selection via factor models
- The complexity results of the sparse optimization problems and reverse convex optimization problems
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- Cardinality minimization, constraints, and regularization: a survey
- Techniques for accelerating branch-and-bound algorithms dedicated to sparse optimization
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- A Fuzzy Goal Programming Model for Venture Capital Investment Decision Making
- Recent advances in mathematical programming with semi-continuous variables and cardinality constraint
- Global optimization for sparse solution of least squares problems
- Fast algorithms for sparse portfolio selection considering industries and investment styles
- Improving the Performance of MIQP Solvers for Quadratic Programs with Cardinality and Minimum Threshold Constraints: A Semidefinite Program Approach
- A multiplicative weights update algorithm for MINLP
- Minimizing the tracking error of cardinality constrained portfolios
- Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization
- Quadratic Convex Reformulations for Semicontinuous Quadratic Programming
- A polynomial case of the cardinality-constrained quadratic optimization problem
- An augmented Lagrangian proximal alternating method for sparse discrete optimization problems
- Solving cardinality constrained mean-variance portfolio problems via MILP
- Complex portfolio selection via convex mixed‐integer quadratic programming: a survey
- A new algorithm for quadratic integer programming problems with cardinality constraint
- Incorporating environmental and social considerations into the portfolio optimization process
- Cardinality-constrained portfolio optimization with short selling and risk-neutral interest rate
- Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems
- Multiperiod mean absolute deviation uncertain portfolio selection with real constraints
- Robust CCMV model with short selling and risk-neutral interest rate
- A local relaxation method for the cardinality constrained portfolio optimization problem
- Multi-period possibilistic mean semivariance portfolio selection with cardinality constraints and its algorithm
- Cardinality constrained portfolio selection problem: a completely positive programming approach
- Heuristic algorithms for the cardinality constrained efficient frontier
- A new method for mean-variance portfolio optimization with cardinality constraints
- Successive convex approximations to cardinality-constrained convex programs: a piecewise-linear DC approach
- Cardinality-constrained risk parity portfolios
- Tight Upper Bounds on the Cardinality Constrained Mean-Variance Portfolio Optimization Problem Using Truncated Eigendecomposition
- Linear vs. quadratic portfolio selection models with hard real-world constraints
- A new efficiently encoded multiobjective algorithm for the solution of the cardinality constrained portfolio optimization problem
- An iterative method for solving a bi-objective constrained portfolio optimization problem
- Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
- On a Reformulation of Mathematical Programs with Cardinality Constraints
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