An efficient DC programming approach for portfolio decision with higher moments
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Cites work
- scientific article; zbMATH DE number 439380 (Why is no real title available?)
- A D.C. Optimization Algorithm for Solving the Trust-Region Subproblem
- A DC Programming Approach for Mixed-Integer Linear Programs
- A branch and bound method via d. c. optimization algorithms and ellipsoidal technique for box constrained nonconvex quadratic problems
- An efficient algorithm for globally minimizing a quadratic function under convex quadratic constraints
- An efficient combined DCA and B\&B using DC/SDP relaxation for globally solving binary quadratic programs
- Combining DCA (DC Algorithms) and interior point techniques for large-scale nonconvex quadratic programming
- Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements
- Convex Analysis
- Convex analysis approach to d. c. programming: Theory, algorithms and applications
- DC programming: overview.
- Exact penalty in d. c. programming
- Finding a maximum skewness portfolio -- a general solution to three-moments portfolio choice
- Finding largest small polygons with gloptipoly
- Global Optimization of the Scenario Generation and Portfolio Selection Problems
- Global optimization with polynomials and the problem of moments
- GloptiPoly
- GloptiPoly 3: moments, optimization and semidefinite programming
- Handbook of semidefinite programming. Theory, algorithms, and applications
- Introduction to global optimization.
- Large-Scale Molecular Optimization from Distance Matrices by a D.C. Optimization Approach
- Markowitz revisited: mean-variance models in financial portfolio analysis
- Solving a class of linearly constrained indefinite quadratic problems by DC algorithms
- Solving large scale molecular distance geometry problems by a smoothing technique via the Gaussian transform and D.C. programming
- The DC (Difference of convex functions) programming and DCA revisited with DC models of real world nonconvex optimization problems
Cited in
(11)- DC programming and DCA: thirty years of developments
- A sequential convex approximation algorithm for portfolio optimization model
- On difference-of-SOS and difference-of-convex-SOS decompositions for polynomials
- Portfolio selection under downside risk measures and cardinality constraints based on DC programming and DCA
- A variable metric and Nesterov extrapolated proximal DCA with backtracking for a composite DC program
- Global optimization of higher order moments in portfolio selection
- A boosted-DCA with power-sum-DC decomposition for linearly constrained polynomial programs
- A DC programming approach for a class of bilevel programming problems and its application in portfolio selection
- Improved dc programming approaches for solving the quadratic eigenvalue complementarity problem
- DC Programming Approaches for BMI and QMI Feasibility Problems
- Dynamic Score-Driven Independent Component Analysis
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