Cardinality constrained portfolio selection problem: a completely positive programming approach
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Cites work
- scientific article; zbMATH DE number 2107836 (Why is no real title available?)
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- Computational study of a family of mixed-integer quadratic programming problems
- Convex Analysis
- Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems
- Detecting copositivity of a symmetric matrix by an adaptive ellipsoid-based approximation scheme
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- Heuristics for cardinality constrained portfolio optimization
- Improving the performance of MIQP solvers for quadratic programs with cardinality and minimum threshold constraints: a semidefinite program approach
- Lagrangian relaxation procedure for cardinality-constrained portfolio optimization
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- On Cones of Nonnegative Quadratic Functions
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- On the use of optimization models for portfolio selection: A review and some computational results
- Optimal cardinality constrained portfolio selection
- Optimal strategies of benchmark and mean-variance portfolio selection problems for insurers
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- Perspective cuts for a class of convex 0-1 mixed integer programs
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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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