Cardinality constrained portfolio selection problem: a completely positive programming approach
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Publication:898723
DOI10.3934/JIMO.2016.12.1041zbMATH Open1328.90116OpenAlexW2526503275WikidataQ57431531 ScholiaQ57431531MaRDI QIDQ898723FDOQ898723
Authors: Ye Tian, Shu-Cherng Fang, Zhibin Deng, Qingwei Jin 
Publication date: 18 December 2015
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2016.12.1041
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second-order conecompletely positive programmingadaptive approximationcardinality constrained portfolio selection problem
Approximation methods and heuristics in mathematical programming (90C59) Nonconvex programming, global optimization (90C26) Semidefinite programming (90C22) Approximation in the complex plane (30E10)
Cites Work
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Cited In (10)
- Recent advances in mathematical programming with semi-continuous variables and cardinality constraint
- Sparse Markowitz portfolio selection by using stochastic linear complementarity approach
- An optimal trade-off model for portfolio selection with sensitivity of parameters
- Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization
- Solving cardinality constrained mean-variance portfolio problems via MILP
- Optimal cardinality constrained portfolio selection
- Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems
- Tight upper bounds on the cardinality constrained mean-variance portfolio optimization problem using truncated eigendecomposition
- Successive convex approximations to cardinality-constrained convex programs: a piecewise-linear DC approach
- Optimization problems with cardinality constraints
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