A penalty decomposition algorithm for the extended mean-variance-CVaR portfolio optimization problem
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Publication:6560769
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Cites work
- A hybrid algorithm for the two-trust-region subproblem
- An Alternating Method for Cardinality-Constrained Optimization: A Computational Study for the Best Subset Selection and Sparse Portfolio Problems
- Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization
- Cardinality-constrained portfolio optimization with short selling and risk-neutral interest rate
- Computing Feasible Points of Bilevel Problems with a Penalty Alternating Direction Method
- Heuristics for cardinality constrained portfolio optimization
- Mean-CVaR portfolio selection: a nonparametric estimation framework
- Mean-risk models using two risk measures: a multi-objective approach
- Mean-variance-CVaR model of multiportfolio optimization via linear weighted sum method
- Penalty alternating direction methods for mixed-integer optimization: a new view on feasibility pumps
- Portfolio optimization under lower partial risk measures
- Solving highly detailed gas transport MINLPs: block separability and penalty alternating direction methods
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