Robust investment strategies with discrete asset choice constraints using DC programming

DOI10.1080/02331930903500274MaRDI QIDQ3553750zbMATH OpenOpenAlexFDO

Authors Nalân Gülpinar, Le Thi Hoai An, Mahdi Moeini

Publication date 21 April 2010

Published in Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331930903500274

zbMATH Keywords

DCAworst-case analysismean-variance portfolios

Mathematics Subject Classification ID

Nonconvex programming, global optimization (90C26) Portfolio theory (91G10) Mixed integer programming (90C11)

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Cites work

• A D.C. Optimization Algorithm for Solving the Trust-Region Subproblem
• A continuous approch for globally solving linearly constrained quadratic
• Collusive game solutions via optimization
• Combined SVM-based feature selection and classification
• DC programming and DCA for globally solving the value-at-risk
• DC programming approach for portfolio optimization under step increasing transaction costs
• Heuristics for cardinality constrained portfolio optimization
• Portfolio selection under downside risk measures and cardinality constraints based on DC programming and DCA
• Simulation and optimization approaches to scenario tree generation
• The DC (Difference of convex functions) programming and DCA revisited with DC models of real world nonconvex optimization problems
• Worst-case robust decisions for multi-period mean-variance portfolio optimization

Cited in

(16)

• A penalty PALM method for sparse portfolio selection problems
• Solving the index tracking problem: a continuous optimization approach
• A cross-efficiency approach for evaluating decision making units in presence of undesirable outputs
• 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
• The maximum ratio clique problem: A continuous optimization approach and some new results
• A solution approach for cardinality minimization problem based on fractional programming
• Solving continuous min max problem for single period portfolio selection with discrete constraints by DCA
• Heuristic algorithms for the cardinality constrained efficient frontier
• A new method for mean-variance portfolio optimization with cardinality constraints
• An iterative method for solving a bi-objective constrained portfolio optimization problem

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