Extracting from the relaxed for large-scale semi-continuous variable nondominated frontiers

DOI10.1007/s10898-015-0305-4zbMath1339.90309OpenAlexW1971796253MaRDI QIDQ905752

Kalyanmoy Deb, Markus Hirschberger, Ralph E. Steuer

Publication date: 28 January 2016

Published in: Journal of Global Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10898-015-0305-4

zbMATH Keywords

portfolio selectionsemi-continuous variablesmultiple criteria optimizationparametric quadratic programmingbuy-in thresholdsnondominated frontiers

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Quadratic programming (90C20) Sensitivity, stability, parametric optimization (90C31) Portfolio theory (91G10)

Related Items (1)

Expected mean return—standard deviation efficient frontier approximation with low‐cardinality portfolios in the presence of the risk‐free asset

Uses Software

• CPLEX

Cites Work

• Portfolio optimization under D.C. transaction costs and minimal transaction unit constraints
• A global optimization problem in portfolio selection
• Randomly generating portfolio-selection covariance matrices with specified distributional characteristics
• Efficient implementation of an active set algorithm for large-scale portfolio selection
• Effective implementation of the \(\varepsilon \)-constraint method in multi-objective mathematical programming problems
• Heuristic algorithms for the portfolio selection problem with minimum transaction lots
• Nonlinear multiobjective optimization
• Heuristics for cardinality constrained portfolio optimization
• On the computation of the efficient frontier of the portfolio selection problem
• Large-scale MV efficient frontier computation via a procedure of parametric quadratic programming
• Heuristic algorithms for the cardinality constrained efficient frontier
• Genetic algorithms for portfolio selection problems with minimum transaction lots
• Integer programming approaches in mean-risk models
• Global optimization versus integer programming in portfolio optimization under nonconvex transaction costs
• An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints
• Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints

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