DC programming approaches for discrete portfolio optimization under concave transaction costs
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Publication:5963231
DOI10.1007/s11590-015-0931-2zbMath1343.90072OpenAlexW1462197815MaRDI QIDQ5963231
Hoai An Le Thi, Viet Nga Pham, Tao Pham Dinh, Yi-Shuai Niu
Publication date: 4 March 2016
Published in: Optimization Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11590-015-0931-2
DCAbranch and boundportfolio optimizationconcave transaction costsDC programmingDC relaxationnonconvex integer program
Integer programming (90C10) Nonconvex programming, global optimization (90C26) Portfolio theory (91G10)
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New LP-based local and global algorithms for continuous and mixed-integer nonconvex quadratic programming ⋮ Discrete dynamical system approaches for Boolean polynomial optimization ⋮ A variable metric and Nesterov extrapolated proximal DCA with backtracking for a composite DC program ⋮ Open issues and recent advances in DC programming and DCA ⋮ A simultaneous diagonalization based SOCP relaxation for portfolio optimization with an orthogonality constraint ⋮ A difference-of-convex programming approach with parallel branch-and-bound for sentence compression via a hybrid extractive model ⋮ DC programming and DCA: thirty years of developments ⋮ Preface to the special issue ``Recent developments in non-linear and global optimization
Uses Software
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