OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION
From MaRDI portal
Publication:5472778
DOI10.1111/j.1467-9965.2006.00262.xzbMath1128.91028WikidataQ57445499 ScholiaQ57445499MaRDI QIDQ5472778
Xiaoling Sun, Li, Duan, Jun Wang
Publication date: 12 June 2006
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2006.00262.x
Related Items
Global optimization for sparse solution of least squares problems, Closed-form solutions for short-term sparse portfolio optimization, Portfolio selection with robust estimators considering behavioral biases in a causal network, A penalty PALM method for sparse portfolio selection problems, Quadratic Convex Reformulations for Semicontinuous Quadratic Programming, DC programming approaches for discrete portfolio optimization under concave transaction costs, A Fuzzy Goal Programming Model for Venture Capital Investment Decision Making, Hybrid Enhanced Binary Honey Badger Algorithm with Quadratic Programming for Cardinality Constrained Portfolio Optimization, Multiperiod mean absolute deviation fuzzy portfolio selection model with risk control and cardinality constraints, Recent advances in mathematical programming with semi-continuous variables and cardinality constraint, An exact solution method for unconstrained quadratic 0--1 programming: a geometric approach, Separable relaxation for nonconvex quadratic integer programming: Integer diagonalization approach, Simple solution methods for separable mixed linear and quadratic knapsack problem, Successive convex approximations to cardinality-constrained convex programs: a piecewise-linear DC approach, Multi-period possibilistic mean semivariance portfolio selection with cardinality constraints and its algorithm, A new efficiently encoded multiobjective algorithm for the solution of the cardinality constrained portfolio optimization problem, Minimizing the tracking error of cardinality constrained portfolios, Restricted Robinson constraint qualification and optimality for cardinality-constrained cone programming, Sparse tangent portfolio selection via semi-definite relaxation, Portfolio selection problems with Markowitz's mean-variance framework: a review of literature, Time-consistent multiperiod mean semivariance portfolio selection with the real constraints, Equity portfolio management with cardinality constraints and risk parity control using multi-objective particle swarm optimization, Lagrangian duality and saddle points for sparse linear programming, Fast algorithms for sparse portfolio selection considering industries and investment styles, Cardinality-constrained portfolio optimization with short selling and risk-neutral interest rate, Cardinality-constrained risk parity portfolios, Robust CCMV model with short selling and risk-neutral interest rate, Discrete dynamical system approaches for Boolean polynomial optimization, A new algorithm for quadratic integer programming problems with cardinality constraint, Equally weighted cardinality constrained portfolio selection via factor models, Heuristic algorithms for the cardinality constrained efficient frontier, An augmented Lagrangian proximal alternating method for sparse discrete optimization problems, Chance-constrained multiperiod mean absolute deviation uncertain portfolio selection, Multiperiod mean absolute deviation uncertain portfolio selection with real constraints, A polynomial case of the cardinality-constrained quadratic optimization problem, A cardinality constrained stochastic goal programming model with satisfaction functions for venture capital investment decision making, A new method for mean-variance portfolio optimization with cardinality constraints, Solving cardinality constrained mean-variance portfolio problems via MILP, An iterative method for solving a bi-objective constrained portfolio optimization problem, Twenty years of linear programming based portfolio optimization, Fractional Liu uncertain differential equation and its application to finance, Convex relaxation and Lagrangian decomposition for indefinite integer quadratic programming, Improving the Performance of MIQP Solvers for Quadratic Programs with Cardinality and Minimum Threshold Constraints: A Semidefinite Program Approach, A branch-and-bound algorithm for discrete multi-factor portfolio optimization model, Matrix decomposition and Lagrangian dual method for discrete portfolio optimization under concave transaction costs, An exact algorithm for factor model in portfolio selection with roundlot constraints
Cites Work
- Unnamed Item
- A dual ascent method for the portfolio selection problem with multiple constraints and linked proposals
- Heuristic algorithms for the portfolio selection problem with minimum transaction lots
- Simulated annealing for complex portfolio selection problems.
- Semi-absolute deviation rule for mutual funds portfolio selection
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Heuristics for cardinality constrained portfolio optimization
- Multiple criteria linear programming model for portfolio selection
- Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
- Asymptotic Strong Duality for Bounded Integer Programming: A Logarithmic-Exponential Dual Formulation
- LP solvable models for portfolio optimization: a classification and computational comparison
- Success guarantee of dual search in integer programming: \(p\)-th power Lagrangian method.
- \(p\)th power Lagrangian method for integer programming
- Selecting portfolios with fixed costs and minimum transaction lots
