A penalty decomposition algorithm for the extended mean-variance-CVaR portfolio optimization problem
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Publication:6560769
DOI10.1142/S1793830923500210zbMATH Open1544.91285MaRDI QIDQ6560769FDOQ6560769
Authors: Abdelouahed Hamdi, Tahereh Khodamoradi, Maziar Salahi 
Publication date: 24 June 2024
Published in: Discrete Mathematics, Algorithms and Applications (Search for Journal in Brave)
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transaction costsshort sellingcardinality constraintpenalty decomposition methodmean-variance-CVaR model
Cites Work
- Mean-risk models using two risk measures: a multi-objective approach
- Mean-variance-CVaR model of multiportfolio optimization via linear weighted sum method
- Heuristics for cardinality constrained portfolio optimization
- Mean-CVaR portfolio selection: a nonparametric estimation framework
- Portfolio optimization under lower partial risk measures
- Penalty alternating direction methods for mixed-integer optimization: a new view on feasibility pumps
- A hybrid algorithm for the two-trust-region subproblem
- Solving highly detailed gas transport MINLPs: block separability and penalty alternating direction methods
- 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
- Computing Feasible Points of Bilevel Problems with a Penalty Alternating Direction Method
- Cardinality-constrained portfolio optimization with short selling and risk-neutral interest rate
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