Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints
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Publication:4646502
DOI10.1088/1469-7688/1/5/301zbMATH Open1405.91559OpenAlexW2170221568MaRDI QIDQ4646502FDOQ4646502
Authors: Norbert J. Jobst, M. D. Horniman, Gautam Mitra, Cormac Lucas 
Publication date: 14 January 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1088/1469-7688/1/5/301
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Cited In (52)
- Nonnegative estimation and variable selection via adaptive elastic-net for high-dimensional data
- Portfolio management with higher moments: the cardinality impact
- Portfolio selection with divisible and indivisible assets: mathematical algorithm and economic analysis
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- Optimal portfolio selection and dynamic benchmark tracking
- A global optimization problem in portfolio selection
- An exact algorithm for factor model in portfolio selection with roundlot constraints
- Equity portfolio management with cardinality constraints and risk parity control using multi-objective particle swarm optimization
- A portfolio optimization model with three objectives and discrete variables
- A computational comparison of reformulations of the perspective relaxation: SOCP vs. cutting planes
- Efficient sparse portfolios based on composite quantile regression for high-dimensional index tracking
- Smoothing and regularization for mixed-integer second-order cone programming with applications in portfolio optimization
- Randomized portfolio selection, with constraints
- The discrete sell or hold problem with constraints on asset values
- Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs
- Portfolio selection using neural networks
- Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments
- A continuous optimization approach for financial portfolio selection under discrete asset choice constraints
- Nonnegative estimation and variable selection under minimax concave penalty for sparse high-dimensional linear regression models
- Solving cardinality constrained mean-variance portfolio problems via MILP
- Multi-criteria decision analysis with goal programming in engineering, management and social sciences: a state-of-the art review
- Complex portfolio selection via convex mixed‐integer quadratic programming: a survey
- A new algorithm for quadratic integer programming problems with cardinality constraint
- Cardinality-constrained portfolio optimization with short selling and risk-neutral interest rate
- Robust CCMV model with short selling and risk-neutral interest rate
- Cardinality constrained portfolio selection problem: a completely positive programming approach
- On the existence of solutions to the quadratic mixed-integer mean-variance portfolio selection problem
- Bounds on efficient outcomes for large-scale cardinality-constrained Markowitz problems
- Portfolio optimization with an envelope-based multi-objective evolutionary algorithm
- SDP diagonalizations and perspective cuts for a class of nonseparable MIQP
- Nonnegative elastic net and application in index tracking
- Some algebraic methods for solving multiobjective polynomial integer programs
- Extracting from the relaxed for large-scale semi-continuous variable nondominated frontiers
- An algebraic approach to integer portfolio problems
- Long-short portfolio optimization under cardinality constraints by difference of convex functions algorithm
- Heuristic algorithms for the cardinality constrained efficient frontier
- Algorithms and Software for Convex Mixed Integer Nonlinear Programs
- Robust investment strategies with discrete asset choice constraints using DC programming
- On the computation of the efficient frontier of the portfolio selection problem
- Quadratic convex reformulations for semicontinuous quadratic programming
- An empirical study on discrete optimization models for portfolio selection
- Successive convex approximations to cardinality-constrained convex programs: a piecewise-linear DC approach
- On cutting planes for cardinality-constrained linear programs
- Outer approximation for pseudo-convex mixed-integer nonlinear program problems
- Perspective Relaxation of Mixed Integer Nonlinear Programs with Indicator Variables
- Linear vs. quadratic portfolio selection models with hard real-world constraints
- Twenty years of linear programming based portfolio optimization
- Particle swarm optimization with dynamic random population topology strategies for a generalized portfolio selection problem
- An iterative method for solving a bi-objective constrained portfolio optimization problem
- Large-scale MV efficient frontier computation via a procedure of parametric quadratic programming
- Financial portfolio management through the goal programming model: current state-of-the-art
- Variable selection and regularization via arbitrary rectangle-range generalized elastic net
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