Randomized portfolio selection, with constraints
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Publication:5453757
zbMATH Open1138.91024MaRDI QIDQ5453757FDOQ5453757
Authors: Jiang Xie, Simai He, Shuzhong Zhang 
Publication date: 3 April 2008
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Cited In (16)
- Newton method for \(\ell_0\)-regularized optimization
- Uniqueness of the minimal \(l_1\)-norm solution to the monotone linear complementarity problem
- Improving the performance of MIQP solvers for quadratic programs with cardinality and minimum threshold constraints: a semidefinite program approach
- Constrained LQ problem with a random jump and application to portfolio selection
- Recent advances in mathematical programming with semi-continuous variables and cardinality constraint
- Title not available (Why is that?)
- Title not available (Why is that?)
- A polynomial case of the cardinality-constrained quadratic optimization problem
- Newton hard-thresholding pursuit for sparse linear complementarity problem via a new merit function
- Extragradient thresholding methods for sparse solutions of co-coercive ncps
- 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
- Minimal zero norm solutions of linear complementarity problems
- Random credibilitic portfolio selection problem with different convex transaction costs
- A half thresholding projection algorithm for sparse solutions of LCPs
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