Robust investment strategies with discrete asset choice constraints using DC programming
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Publication:3553750
DOI10.1080/02331930903500274zbMATH Open1188.90184OpenAlexW2006272043MaRDI QIDQ3553750FDOQ3553750
Mahdi Moeini, Nalân Gülpinar, Le Thi Hoai An
Publication date: 21 April 2010
Published in: Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331930903500274
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Nonconvex programming, global optimization (90C26) Portfolio theory (91G10) Mixed integer programming (90C11)
Cites Work
- The DC (Difference of convex functions) programming and DCA revisited with DC models of real world nonconvex optimization problems
- Portfolio selection under downside risk measures and cardinality constraints based on DC programming and DCA
- Collusive game solutions via optimization
- Worst-case robust decisions for multi-period mean-variance portfolio optimization
- Combined SVM-based feature selection and classification
- Simulation and optimization approaches to scenario tree generation
- A D.C. Optimization Algorithm for Solving the Trust-Region Subproblem
- Heuristics for cardinality constrained portfolio optimization
- A continuous approch for globally solving linearly constrained quadratic
- DC programming approach for portfolio optimization under step increasing transaction costs
- DC programming and DCA for globally solving the value-at-risk
Cited In (16)
- A penalty PALM method for sparse portfolio selection problems
- Solving the index tracking problem: a continuous optimization approach
- The Maximum Ratio Clique Problem: A Continuous Optimization Approach and Some New Results
- DC formulations and algorithms for sparse optimization problems
- DC programming and DCA: thirty years of developments
- DC decomposition of nonconvex polynomials with algebraic techniques
- Solving nonnegative sparsity-constrained optimization via DC quadratic-piecewise-linear approximations
- An augmented Lagrangian proximal alternating method for sparse discrete optimization problems
- Solving cardinality constrained mean-variance portfolio problems via MILP
- A DC programming approach for sensor network localization with uncertainties in anchor positions
- Solving continuous min max problem for single period portfolio selection with discrete constraints by DCA
- A solution approach for cardinality minimization problem based on fractional programming
- Heuristic algorithms for the cardinality constrained efficient frontier
- A new method for mean-variance portfolio optimization with cardinality constraints
- A Cross-Efficiency Approach for Evaluating Decision Making Units in Presence of Undesirable Outputs
- An iterative method for solving a bi-objective constrained portfolio optimization problem
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