Expected mean return—standard deviation efficient frontier approximation with low‐cardinality portfolios in the presence of the risk‐free asset
From MaRDI portal
Publication:6079983
DOI10.1111/itor.13121OpenAlexW4210608726MaRDI QIDQ6079983
Ignacy Kaliszewski, Przemysław Juszczuk, 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
Related Items (3)
Model and efficient algorithm for the portfolio selection problem with real‐world constraints under value‐at‐risk measure ⋮ A low-cost alternating projection approach for a continuous formulation of convex and cardinality constrained optimization ⋮ The performance of bank portfolio optimization
Cites Work
- Tri-criterion modeling for constructing more-sustainable mutual funds
- Randomly generating portfolio-selection covariance matrices with specified distributional characteristics
- Extracting from the relaxed for large-scale semi-continuous variable nondominated frontiers
- An MCDM approach to portfolio optimization.
- Heuristics for cardinality constrained portfolio optimization
- A new efficiently encoded multiobjective algorithm for the solution of the cardinality constrained portfolio optimization problem
- Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
- Computational study of a family of mixed-integer quadratic programming problems
- Linear and mixed integer programming for portfolio optimization
- Portfolio selection with skewness: a comparison of methods and a generalized one fund result
- Perspective cuts for a class of convex 0-1 mixed integer programs
- Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds
- Twenty years of linear programming based portfolio optimization
- Coherent Measures of Risk
- Optimization Methods in Finance
- A FAST ALGORITHM FOR SOLVING LARGE SCALE MEAN-VARIANCE MODELS BY COMPACT FACTORIZATION OF COVARIANCE MATRICES
- THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS
- A Scalable Algorithm for Sparse Portfolio Selection
This page was built for publication: Expected mean return—standard deviation efficient frontier approximation with low‐cardinality portfolios in the presence of the risk‐free asset
