Lagrangian relaxation procedure for cardinality-constrained portfolio optimization

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(49)

Techniques for accelerating branch-and-bound algorithms dedicated to sparse optimization
A multiplicative weights update algorithm for MINLP
Successive convex approximations to cardinality-constrained convex programs: a piecewise-linear DC approach
On a Reformulation of Mathematical Programs with Cardinality Constraints
Recent advances in mathematical programming with semi-continuous variables and cardinality constraint
Heuristic algorithms for the cardinality constrained efficient frontier
Cardinality-constrained portfolio optimization with short selling and risk-neutral interest rate
Computing cardinality constrained portfolio selection efficient frontiers via closest correlation matrices
Equity portfolio management with cardinality constraints and risk parity control using multi-objective particle swarm optimization
A new method for mean-variance portfolio optimization with cardinality constraints
Norm constrained minimum variance portfolios with short selling
Linear vs. quadratic portfolio selection models with hard real-world constraints
Quadratic convex reformulations for semicontinuous quadratic programming
A local relaxation method for the cardinality constrained portfolio optimization problem
Multiperiod mean absolute deviation fuzzy portfolio selection model with risk control and cardinality constraints
Exact solution methods for the \(k\)-item quadratic knapsack problem
On the application of an augmented Lagrangian algorithm to some portfolio problems
Cardinality-constrained risk parity portfolios
Cardinality minimization, constraints, and regularization: a survey
A new efficiently encoded multiobjective algorithm for the solution of the cardinality constrained portfolio optimization problem
Solving cardinality constrained mean-variance portfolio problems via MILP
Equally weighted cardinality constrained portfolio selection via factor models
Time-consistent multiperiod mean semivariance portfolio selection with the real constraints
The complexity results of the sparse optimization problems and reverse convex optimization problems
An iterative method for solving a bi-objective constrained portfolio optimization problem
Artificial bee colony algorithm for constrained possibilistic portfolio optimization problem
Sparse tangent portfolio selection via semi-definite relaxation
Complex portfolio selection via convex mixed‐integer quadratic programming: a survey
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
Multi-period possibilistic mean semivariance portfolio selection with cardinality constraints and its algorithm
Cardinality constrained portfolio selection problem: a completely positive programming approach
A new algorithm for quadratic integer programming problems with cardinality constraint
Global optimization for sparse solution of least squares problems
Tight upper bounds on the cardinality constrained mean-variance portfolio optimization problem using truncated eigendecomposition
A cardinality constrained stochastic goal programming model with satisfaction functions for venture capital investment decision making
A penalty PALM method for sparse portfolio selection problems
Minimizing the tracking error of cardinality constrained portfolios
A polynomial case of the cardinality-constrained quadratic optimization problem
Optimal cardinality constrained portfolio selection
Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
Incorporating environmental and social considerations into the portfolio optimization process
Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization
A Fuzzy Goal Programming Model for Venture Capital Investment Decision Making
Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems
Multiperiod mean absolute deviation uncertain portfolio selection with real constraints
An augmented Lagrangian proximal alternating method for sparse discrete optimization problems
Robust CCMV model with short selling and risk-neutral interest rate
A unifying framework for sparsity-constrained optimization

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