Expected mean return—standard deviation efficient frontier approximation with low‐cardinality portfolios in the presence of the risk‐free asset

DOI10.1111/ITOR.13121MaRDI QIDQ6079983zbMATH OpenOpenAlexFDO

Authors Przemysław Juszczuk, Ignacy Kaliszewski, Janusz Miroforidis, Dmitry Podkopaev

Publication date 29 September 2023

Published in International Transactions in Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/itor.13121

zbMATH Keywords

risk-free assetefficient frontier approximationmean-variance investingportfolio cardinality

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

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Cited in

(4)

• ESG portfolio for TDFs with time-varying higher moments and cardinality constraint
• The performance of bank portfolio optimization
• A low-cost alternating projection approach for a continuous formulation of convex and cardinality constrained optimization
• Model and efficient algorithm for the portfolio selection problem with real‐world constraints under value‐at‐risk measure

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